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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 … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …

Persistent link: https://www.econbiz.de/10012807854

Growth Effects in a Stochastic Model of Currency Crisis

Shankar, Rashmi - 2008

The main contributions of this paper are to introduce growth into a crisis framework and to derive the contingency plans for consumption and investment in a manner consistent with the stochastic nature of the state of the economy. The conclusion is that expected deviations from trend in the...

Persistent link: https://www.econbiz.de/10014123866

Trend, lange Wellen, Strukturbrüche oder nur Zufall : was bestimmt die langfristige Entwicklung des deutschen bruttoinlandsprodukts?

Metz, Rainer - In: Wirtschafts- und Sozialgeschichte : Gegenstand und …, (pp. 117-164). 1999

Persistent link: https://www.econbiz.de/10001325131

Economic growth and business cycles : a critical comment on detrending time series

Schenk-Hoppé, Klaus Reiner (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 1, pp. 75-86

Persistent link: https://www.econbiz.de/10001769743

Analysis of economic growth : structural breaks, superrandomness, and nonlinear forecasting

Reschenhofer, Erhard - In: Allgemeines statistisches Archiv : AStA ; journal of … 87 (2003) 4, pp. 383-404

Persistent link: https://www.econbiz.de/10001819800

Trend, Zyklus und Zufall : Bestimmungsgründe und Verlaufsformen langfristiger Wachstumsschwankungen

Metz, Rainer - 2002

Persistent link: https://www.econbiz.de/10001715782

Stochastic trends in German Gross Domestic Product (GDP) 1850 - 1990

Metz, Rainer - In: Zeitreihenanalyse in der empirischen …, (pp. 147-174). 2004

Persistent link: https://www.econbiz.de/10002040147

Trend growth shocks and asset prices

Lee, Nam Gang - 2019

Persistent link: https://www.econbiz.de/10012170948

Leveraged bootstrap test of volatility : a novel approach to the energy consumption and economic growth puzzle

Lee, Kuo-Hao; Ohn, Jonathan; Eryilmaz, Evren - In: International journal of economics and finance 9 (2017) 9, pp. 117-122

Persistent link: https://www.econbiz.de/10011762714

The growth-volatility relationship redux : what does volatility decomposition tell?

Mallick, Debdulal - In: The B.E. journal of macroeconomics 19 (2019) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10012027392

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