Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of … uncertainty risk on the transmission mechanism among macroeconomic sectors. The empirical research found that uncertainty risk …

In this paper, we propose a novel parametric approach to extract the implied risk-neutral density function from a cross … show that well-behaved risk neutral densities can be generated by imposing restrictions on the parameters of the model. The … results of our numerical experiments demonstrate that the method is capable of extracting risk neutral densities with complex …