Filtering methods are powerful tools to estimate the hidden state of a state-space model from observations available in real time. However, they are known to be highly sensitive to the presence of small misspecifications of the underlying model and to outliers in the observation process. In this...

Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of...

Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of...