suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

Bayesian time-varying parameter VAR model with stochastic volatility to US data from 1970 to 2014. GDP becomes highly sensitive …

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

The link between systemic risk and economic growth is hard to study because the relationship is believed to be … nonlinear and systemic risk is unobservable. The myriad of measures proposed in the literature add model uncertainty as an … additional difficulty. I use a Bayesian quantile regression to study the relevance of 33 systemic risk indicators to explain …

Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the … realized volatility measure for the GARCH-type models.Findings: The comprehensive empirical investigation led to the following … estimates neither show any significant impact of past conditional volatility on the current conditional volatility nor any …

We study a long-run risk model with a stochastic consumption growth rate, a stochastic volatility, a stochastic jump …-varying uncertainty, time-variation in the jump intensity is much more important than time-variation in diffusive volatility risk. Third … uncertainty has far-reaching economic consequences: the equity risk premium is increasing not only with short-run but also with …