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, inflation, and the federal funds rate from VAR models with stochastic volatility. The model of interest extends the steady state …. However, recent sharp changes in macroeconomic volatility such as the Great Moderation and the more recent sharp rise in … volatility associated with greater variation in energy prices and the deep global recession pose significant challenges to …
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forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high …
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