Search Results - subject:"Stochastic volatility."

Bootstrapping Non-Stationary Stochastic Volatility

Boswijk, Peter; Cavaliere, Giuseppe; Georgiev, Iliyan; … - 2019

volatility process. We apply our results to several testing problems in the presence of non-stationary stochastic volatility … literature by developing conditions for bootstrap validity in time series and regression models with non-stationary, stochastic … volatility. We show that in such cases the distribution of bootstrap statistics (conditional on the data) is random in the limit …

Persistent link: https://www.econbiz.de/10012233957

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2019

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

Persistent link: https://www.econbiz.de/10012271235

Exchange rate dynamics and monetary policy: Evidence from a non-linear DSGE-VAR approach

Huber, Florian; Rabitsch, Katrin - 2019

In this paper, we reconsider the question how monetary policy influences exchange rate dynamics. To this end, a vector autoregressive (VAR) model is combined with a two-country dynamic stochastic general equilibrium (DSGE) model. Instead of focusing exclusively on how monetary policy shocks...

Persistent link: https://www.econbiz.de/10012271236

Inflation trends in Asia: Implications for central banks

Garcia, Juan Angel; Poon, Aubrey - 2019

Trend inflation estimates for 12 of the largest Asian economies over 1995-2018 offer important insights on inflation dynamics and inflation expectations. The disinflationary shocks that hit the region since 2014 were partly transitory, but their effects have been different depending on the...

Persistent link: https://www.econbiz.de/10012389541

Nominal stability over two centuries

Kaufmann, Daniel - In: Swiss Journal of Economics and Statistics 155 (2019) 7, pp. 1-23

transitory measurement errors, in particular in nineteenth century data, I use an unobserved-components stochastic-volatility …

Persistent link: https://www.econbiz.de/10013205769

The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?

Karlsson, Sune; Österholm, Pär - 2019

parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the … relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that …

Persistent link: https://www.econbiz.de/10012654449

Nominal stability over two centuries

Kaufmann, Daniel - In: Swiss journal of economics and statistics 155 (2019) 7, pp. 1-23

transitory measurement errors, in particular in nineteenth century data, I use an unobserved-components stochastic-volatility …

Persistent link: https://www.econbiz.de/10012041708

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

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424

Inflation trends in Asia : implications for central banks

Garcia, Juan Angel; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012132591

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012115020