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Using time-varying volatility for identification in vector autoregressions : an application to endogenous uncertainty

Marcellino, Massimiliano; Carriero, Andrea; Clark, Todd E. - 2021

Persistent link: https://www.econbiz.de/10012589508

Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10013278994

Measures of model risk for continuous-time finance models

Lazar, Emese; Qi, Shuyuan; Tunaru, Radu - In: Journal of financial econometrics 22 (2024) 5, pp. 1456-1481

Persistent link: https://www.econbiz.de/10015338808

Endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2018

Persistent link: https://www.econbiz.de/10011878268

Estimation of distortion risk measures

Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235

Persistent link: https://www.econbiz.de/10010233598

Monte-Carlo Valuation of Options Under Uncertain Volatility : A Local Quadratic Kernel Regression-Based Method

Gocsei, Arnaud - 2012

We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain volatility model …

Persistent link: https://www.econbiz.de/10013101251

Estimating Growth at Risk with Skewed Stochastic Volatility Models

Wolf, Elias - 2022

This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions …, I modify the Tempered Particle Filter of Herbst and Schorheide (2019) to account for stochastic volatility and …

Persistent link: https://www.econbiz.de/10013306169

A new approach to identifying the real effects of uncertainty shocks

Shin, Minchul; Zhong, Molin - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 367-379

Persistent link: https://www.econbiz.de/10012262481

On the Bayesian risk evaluation of minimum guarantees in variable annuities

Byoung Hark Yoo; Ko, Bangwon; Kwon, Hyuk-Sung - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 21-43

Persistent link: https://www.econbiz.de/10011410497

Measuring uncertainty and its effects in a small open economy

Cabello, Miguel; Nivin, Rafael - 2022

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …

Persistent link: https://www.econbiz.de/10013540621