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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 … to estimate Growth at Risk as introduced in Adrian et al. (2019) seminal paper "Vulnerable Growth". In contrary to their …, I modify the Tempered Particle Filter of Herbst and Schorheide (2019) to account for stochastic volatility and …

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

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

Persistent link: https://www.econbiz.de/10011637545

How the baby boomers' retirement wave distorts model-based output gap estimates

Wolters, Maik H. - 2017

This paper illustrates the importance of consistency between the empirical measurement and the concept of variables in macroeconomic models. Since standard New Keynesian models do not account for demographic trends and sectoral shifts, I propose adjusting hours per capita used to estimate such...

Persistent link: https://www.econbiz.de/10011704809

How the baby boomers' retirement wave distorts model-based output gap estimates

Wolters, Maik H. - 2018

The paper illustrates based on an example the importance of consistency between the empirical measurement and the concept of variables in estimated macroeconomic models. Since standard New Keynesian models do not account for demographic trends and sectoral shifts, the authors proposes adjusting...

Persistent link: https://www.econbiz.de/10011816344

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

A Consistent Model of 'Explosive' Financial Bubbles with Mean-Reversing Residuals

li, Lin; Ren, Ruoen; Sornette, Didier - 2010

We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … started at least 4 years earlier. We confirm the validity and universality of the volatility-confined LPPL model on seven …

Persistent link: https://www.econbiz.de/10014195793