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Trend inflation estimates for Thailand from disaggregated data
Pym Manopimoke; Vorada Limjaroenrat - In: Economic modelling 65 (2017), pp. 75-94
Persistent link: https://www.econbiz.de/10011813600
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Should I open to forecast? : implications from a multi-country unobserved components model with sparse factor stochastic volatility
Wu, Ping - In: International journal of forecasting 40 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10014547224
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … account for all the heteroskedasticity present in the data. The empirical results are based on a Bayesian analysis and show …
Persistent link: https://www.econbiz.de/10011376640
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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Forecasting with VAR models : fat tails and stochastic volatility
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2015
Persistent link: https://www.econbiz.de/10011312174
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Forecasting with VAR models : fat tails and stochastic volatility
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pintér, Gábor - In: International journal of forecasting 33 (2017) 4, pp. 1124-1143
Persistent link: https://www.econbiz.de/10011746951
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Credit spread and employment growth : a time-varying relationship?
Nordström, Martin - In: Applied economics letters 28 (2021) 1, pp. 23-31
Persistent link: https://www.econbiz.de/10012415041
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Measuring asymmetric stochastic cycle components in US macroeconomic time series
Koopman, Siem Jan; Lee, Kai Ming - 2005
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10011346480
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What's so great about the Great Moderation?
Keating, John William; Valcarcel, Victor J. - In: Journal of macroeconomics 51 (2017), pp. 115-142
Persistent link: https://www.econbiz.de/10011752360
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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952