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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
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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
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Estimating time-varying potential output and NAIRU using a multivariate filter for Turkey
Gökcü, Mert - 2021
Persistent link: https://www.econbiz.de/10013170985
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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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A multivariate unobserved components model to estimate potential output in the euro area : a production function based approach
Tóth, Máté - 2021
This paper builds an unobserved components model that combines a multivariate filter approach with a Cobb-Douglas production function. This combination allows potential output estimates to incorporate more economic structure than the traditional production function approach, while retaining the...
Persistent link: https://www.econbiz.de/10012429180
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Trends and cycles under changing economic conditions
Duarte, Cláudia; Maria, José R.; Sazedj, Sharmin - In: Economic modelling 92 (2020), pp. 126-146
Persistent link: https://www.econbiz.de/10012429631
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Estimating the US trend short-term interest rate
Beechey, Meredith Jane; Österholm, Pär; Poon, Aubrey - In: Finance research letters 55 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014473294
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Solving and analyzing DSGE models in the frequency domain
Meyer-Gohde, Alexander - 2024
solution methods suitable for standard DSGE estimation and analysis procedures. This approach generalizes the time …
Persistent link: https://www.econbiz.de/10015051533
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Causal and frequency analyses of purchasing power parity
Nagayasu, Jun - In: Journal of international financial markets, … 71 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012800602