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A Bayesian Evaluation of Alternative Models of Trend Inflation
Clark, Todd E. - 2012
With the concept of trend inflation now widely understood as to be important as a measure of the public's perception of the inflation goal of the central bank and important to the accuracy of longer-term inflation forecasts, this paper uses Bayesian methods to assess alternative models of trend...
Persistent link: https://www.econbiz.de/10013112644
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10013050301
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Estimation and Filtering of Nonlinear MS-DSGE Models
Ivashchenko, Sergey - 2016
to most tests of filtering quality (including the quality of quasi-maximum likelihood estimation with use of a filter …
Persistent link: https://www.econbiz.de/10012991854
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Stock market and macroeconomic variables : new evidence from India
Gopinathan, R.; Durai, S. Raja Sethu - In: Financial innovation : FIN 5 (2019) 29, pp. 1-17
Understanding the relationship between macroeconomic variables and the stock market is important because macroeconomic variables have a systematic effect on stock market returns. This study uses monthly data from India for the period from April 1994 to July 2018 to examine the long-run...
Persistent link: https://www.econbiz.de/10012267017
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The pruned state-space system for non-linear DSGE models : theory and empirical applications
Andreasen, Martin Møller; Fernández-Villaverde, Jesús; … - In: The review of economic studies 85 (2018) 1, pp. 1-49
Persistent link: https://www.econbiz.de/10011920114
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A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Econometric reviews 39 (2020) 1, pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
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Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
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The natural rate of interest in a nonlinear DSGE model
Hirose, Yasuo; Sunakawa, Takeki - 2017
Persistent link: https://www.econbiz.de/10011747745
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The discretization filter : a simple way to estimate nonlinear state space models
Farmer, Leland E. - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 41-76
Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of...
Persistent link: https://www.econbiz.de/10012432773
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10012458363