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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640
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Empirical evidence on jumps and large fluctuations in individual stocks
Doung, Diep; Swanson, Norman R. - 2011
contribution to overall realized variation and their contribution to predictive regressions of realized volatility. We find … individual stocks. -- Itô semi-martingale ; realized volatility ; jumps ; quadratic volatility ; multipower variation ; tripower …
Persistent link: https://www.econbiz.de/10009151972
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Time-varying investment dynamics in the USA
Mendieta-Muñoz, Ivan - 2024
We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector autoregression model with drifting parameters and stochastic volatilities estimated via Bayesian methods. We find significant variation over time of the response of investment to shocks...
Persistent link: https://www.econbiz.de/10014483612
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10011350381
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Bayesian estimation of the long-run trend of the US economy
Kim, Jaeho; Chon, Sora - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 461-485
Persistent link: https://www.econbiz.de/10012819475
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Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …
Persistent link: https://www.econbiz.de/10012924242
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Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-16
Persistent link: https://www.econbiz.de/10011966001
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …
Persistent link: https://www.econbiz.de/10011809984
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Testing for time variation in an unobserved components model for the U.S. economy
Berger, Tino; Everaert, Gerdie; Vierke, Hauke - In: Journal of economic dynamics & control 69 (2016), pp. 179-208
Persistent link: https://www.econbiz.de/10011708530
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Modeling changes in US monetary policy
Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David - 2016
Persistent link: https://www.econbiz.de/10012176808