Similar Search Results

Narrow search

Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility

Mertens, Elmar; Nason, James Michael - 2018 - Current draft: February 16, 2018

Persistent link: https://www.econbiz.de/10011867086

A stochastic volatility model with GH skew student's t-distribution : application to Latin-American stock returns

Lengua Lafosse, Patricia; Bayes, Cristian; Rodriguez, … - 2015

Persistent link: https://www.econbiz.de/10011415404

Estimating dynamic equilibrium models with stochastic volatility

Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - 2014

Persistent link: https://www.econbiz.de/10011661491

Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts

Alvaro, Dennis; Guillén, Ángel; Rodriguez, Gabriel - In: Review of world economics 153 (2017) 1, pp. 71-103

Persistent link: https://www.econbiz.de/10011889303

The changing transmission of uncertainty shocks in the U.S.

Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 239-252

Persistent link: https://www.econbiz.de/10011894695

Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414