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Benchmark interest rates when the government is risky

Augustin, Patrick; Chernov, Mikhail; Schmid, Lukas; … - 2019

Persistent link: https://www.econbiz.de/10012136990

Bond market exposures to macroeconomic and monetary policy risks

Song, Dongho - In: The review of financial studies 30 (2017) 8, pp. 2761-2817

Persistent link: https://www.econbiz.de/10011755603

Improving GDP measurement : a forecast combination perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - 2011

Persistent link: https://www.econbiz.de/10009314062

Improving GDP measurement : a forecast combination perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - 2011

Persistent link: https://www.econbiz.de/10010196669

Identifying long-run risks : a Bayesian mixed-frequency approach

Schorfheide, Frank; Song, Dongho; Yaron, Amir - 2013

Persistent link: https://www.econbiz.de/10010198109

Improving GDP measurement : a measurement-error perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - 2013 - [Rev.]

Persistent link: https://www.econbiz.de/10010198274

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

Identifying long-run risks : a Bayesian mixed-frequency approach

Schorfheide, Frank; Song, Dongho; Yaron, Amir - 2014

Persistent link: https://www.econbiz.de/10010392642

Improving GDP measurement : a forecast combination perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - 2011

Persistent link: https://www.econbiz.de/10009387798

Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic

Schorfheide, Frank; Song, Dongho - National Bureau of Economic Research - 2021

We resuscitated the mixed-frequency vector autoregression (MF-VAR) developed in Schorfheide and Song (2015, JBES) to generate macroeconomic forecasts for the U.S. during the COVID-19 pandemic in real time. The model combines eleven time series observed at two frequencies: quarterly and monthly....

Persistent link: https://www.econbiz.de/10012794563