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The evolving impact of global, region-specific, and country-specific uncertainty
Mumtaz, Haroon; Musso, Alberto - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 466-481
Persistent link: https://www.econbiz.de/10012499092
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Financial regimes and uncertainty shocks
Alessandri, Piergiorgio; Mumtaz, Haroon - In: Journal of monetary economics 101 (2019), pp. 31-46
Persistent link: https://www.econbiz.de/10012264750
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Fiscal policy uncertainty and US output
Popiel, Michal Ksawery - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10012198646
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of international economics 105 (2017), pp. 205-216
Persistent link: https://www.econbiz.de/10011751898
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Complementarity and macroeconomic uncertainty
Atkinson, Tyler; Plante, Michael; Richter, Alexander W.; … - In: Review of economic dynamics 44 (2022), pp. 225-243
Persistent link: https://www.econbiz.de/10013346936
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Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127
Persistent link: https://www.econbiz.de/10011691233
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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
the times when the risk factors are detected to have a jump. The test statistic is a cross‐sectional average of a measure … assessing the magnitude of firm‐specific risk in asset prices at the factor jump events. Empirical application to S&P 100 stocks …
Persistent link: https://www.econbiz.de/10012042424
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Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476
Persistent link: https://www.econbiz.de/10014465295