evidence is robust to alternative estimation schemes. Here we use a seminonparametric (SNP) model with a BEKK-GARCH variance … estimation of term structure models. Using an extensive historical analysis, we find that major driving forces behind the sign … features such as the positivity of nominal interest rates, heteroskedasticity in volatility, and correlations among underlying …

The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …

line with theory, induce a negative nowcast error but raise economic activity in the short run. They account for up to 30 …

-run restrictions on a VAR model to disentangle the effects of both shocks. We find that optimism shocks - in line with theory - reduce …

This paper applies a yield curve model that separates expectations and volatility components of market yields on …

Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using …

method is compared in its ability to capture the dynamics of short rate volatility to a class of one-factor diffusion models … semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, levels effect and serial … volatility of interest rate changes. The improvement in modelling short rate volatility using the new procedure has implications …