Similar Search Results

Indirect inference and calibration of dynamic stochastic general equilibrium models

Dridi, Ramdan; Guay, Alain; Renault, Eric - In: Journal of econometrics 136 (2007) 2, pp. 397-430

Persistent link: https://www.econbiz.de/10003412637

What do interest rates reveal about the functioning of real business cycle models?

Beaudry, Paul - In: Journal of economic dynamics & control 20 (1996) 9, pp. 1661-1682

Persistent link: https://www.econbiz.de/10001209458

The impact of risk and uncertainty on expected returns

Anderson, Ewan W.; Ghysels, Eric; Juergens, Jennifer L. - In: Journal of financial economics 94 (2009) 2, pp. 233-263

Persistent link: https://www.econbiz.de/10003906349

Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

Persistent link: https://www.econbiz.de/10010225468