Search Results - subject:"Time-Varying Volatility"

Prices and money in the early modern period in Spain: Fresh evidence from new data, 1492 - 1810

Congregado, Emilio; Esteve García, Vicente; Prats, … - 2024

In this article, we use as case study the Spanish economy in the Early Modern period. We use recent time series data for the period 1492 - 1810. We consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a good empirical description of...

Persistent link: https://www.econbiz.de/10015193979

Prices and money in the early modern period in Spain : fresh evidence from new data, 1492 - 1810

Congregado, Emilio; Esteve García, Vicente; Prats, … - 2024

Persistent link: https://www.econbiz.de/10015166985

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014505189

Score-driven modeling with jumps : an application to S&P500 returns and options

Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: Journal of financial econometrics 22 (2024) 2, pp. 375-406

Persistent link: https://www.econbiz.de/10014526331

Estimation of nonlinear DSGE models through Laplace based solutions

Baiaman, Elnura; Leon-Gonzalez, Roberto - 2024

Persistent link: https://www.econbiz.de/10015051301

Estimation of nonlinear DSGE models through Laplace based solutions

Baiaman, Elnura; Leon-Gonzalez, Roberto - 2024

Persistent link: https://www.econbiz.de/10015049072

Measuring the natural rate of interest after COVID-19

Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2023

We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying … volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the …

Persistent link: https://www.econbiz.de/10014480629

On the economic significance of stock return predictability

Cederburg, Scott; Johnson, Travis L.; O'Doherty, Michael - In: Review of finance : journal of the European Finance … 27 (2023) 2, pp. 619-657

Persistent link: https://www.econbiz.de/10014317955

Measuring the natural rate of interest after COVID-19

Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2023

Persistent link: https://www.econbiz.de/10014302828

ESG performance and corporate volatility : an empirical exploration in an emerging economy

Sharma, Sudhi; Aggarwal, Vaibhav; Reepu; Mehta, … - In: International journal of social economics 52 (2025) 3, pp. 467-483

Persistent link: https://www.econbiz.de/10015198805