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Tracking global economic uncertainty : implications for the euro area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10012503567
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A Euro Area Term Structure Model with Time Varying Exposures
Tornese, Tommaso - 2023
for stochastic volatility both at the regional and country specific level. Despite the share of national variance …
Persistent link: https://www.econbiz.de/10014356030
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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - 2013
Persistent link: https://www.econbiz.de/10009724167
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Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility
Marcellino, Massimiliano Giuseppe - 2014
In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …
Persistent link: https://www.econbiz.de/10013064512
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Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to … quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic …
Persistent link: https://www.econbiz.de/10011978764
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Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
Persistent link: https://www.econbiz.de/10011871462
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Forecasting inflation uncertainty in the United States and Euro area
Ftiti, Zied; Jawadi, Fredj - In: Computational economics 54 (2019) 1, pp. 455-476
Persistent link: https://www.econbiz.de/10012134205
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Modeling the relationship between European carbon permits and certified emission reductions
Koop, Gary; Tole, Lise - In: Journal of empirical finance 24 (2013), pp. 166-181
Persistent link: https://www.econbiz.de/10010371982
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Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
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GARCH option pricing models and the variance risk premium
Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21
In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option … more persistent in the risk-neutral measure than in the physical one, so that one is able to capture the variance risk … premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX …
Persistent link: https://www.econbiz.de/10012174118