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Identifying long-run risks : a Bayesian mixed-frequency approach
Schorfheide, Frank; Song, Dongho; Yaron, Amir - 2014 - This version: June 24, 2014
Persistent link: https://www.econbiz.de/10010484306
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Identifying long-run risks : a Bayesian mixed-frequency approach
Schorfheide, Frank; Song, Dongho; Yaron, Amir - 2014
Persistent link: https://www.econbiz.de/10010392642
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2013
consumption and dividend growth and multiple stochastic volatility processes. The estimation is based on annual consumption data … the volatility processes. Our Bayesian estimation provides strong evidence for a small predictable component in … consumption growth (even if asset return data are omitted from the estimation). Three independent volatility processes capture …
Persistent link: https://www.econbiz.de/10013075459
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A Bayesian Evaluation of Alternative Models of Trend Inflation
Clark, Todd E. - 2012
With the concept of trend inflation now widely understood as to be important as a measure of the public's perception of the inflation goal of the central bank and important to the accuracy of longer-term inflation forecasts, this paper uses Bayesian methods to assess alternative models of trend...
Persistent link: https://www.econbiz.de/10013112644
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10013050301
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A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Econometric reviews 39 (2020) 1, pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10012458363
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Export-output growth nexus using threshold VAR and VEC models : empirical evidence from Thailand
Arisara Romyen; Liu, Jianxu; Songsak Sriboonchitta - In: Economies : open access journal 7 (2019) 2/60, pp. 1-16
This paper explores the relationship between export, import, and output for Thailand over the period from 1990 to 2017. The threshold vector autoregressive (VAR) and threshold vector error correction (VEC) models were applied. The empirical evidence confirms that the export-led growth hypothesis...
Persistent link: https://www.econbiz.de/10012021578
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Modeling and forecasting the co-movement of international yield curve drivers
Sprincenatu, Maria - 2019
Persistent link: https://www.econbiz.de/10012172917
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The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling
Chan, Joshua - 2015
Persistent link: https://www.econbiz.de/10011342445