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Real-time forecasting with a (standard) mixed-frequency VAR during a pandemic

Schorfheide, Frank; Song, Dongho - 2021

Persistent link: https://www.econbiz.de/10012821054

Improving GDP measurement : a forecast combination perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - 2011

Persistent link: https://www.econbiz.de/10009314062

Real-time forecasting with a mixed-frequency VAR

Schorfheide, Frank; Song, Dongho - 2013

Persistent link: https://www.econbiz.de/10010227274

Improving GDP measurement : a measurement-error perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - 2013

Persistent link: https://www.econbiz.de/10009740772

Improving GDP measurement : a measurement-error perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - In: Journal of econometrics 191 (2016) 2, pp. 384-397

Persistent link: https://www.econbiz.de/10011610607

The term structure of equity risk premia

Bansal, Ravi; Miller, Shane; Song, Dongho; Yaron, Amir - In: Journal of financial economics 142 (2021) 3, pp. 1209-1228

Persistent link: https://www.econbiz.de/10012875936

Fearing the Fed : how wall street reads main street

Elenev, Vadim; Law, Tzuo Hann; Song, Dongho; Yaron, Amir - In: Journal of financial economics 153 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015072051

Bond market exposures to macroeconomic and monetary policy risks

Song, Dongho - In: The review of financial studies 30 (2017) 8, pp. 2761-2817

Persistent link: https://www.econbiz.de/10011755603

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

Schorfheide, Frank; Song, Dongho; Yaron, Amir - In: Econometrica 86 (2018) 2, pp. 617-654

Persistent link: https://www.econbiz.de/10012097934

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

Schorfheide, Frank; Yaron, Amir; Song, Dongho - National Bureau of Economic Research (NBER) - 2014

We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and multiple stochastic volatility processes. The...

Persistent link: https://www.econbiz.de/10010821674