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Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - In: Journal of empirical finance 28 (2014), pp. 118-138

Persistent link: https://www.econbiz.de/10011285080

Vygodchikova, Irina Yurievna; Firsova, Anna Alexandrovna; … - In: Journal of advanced research in law and economics : JARLE 7 (2016) 7/21, pp. 1899-1907

Persistent link: https://www.econbiz.de/10011966057

Regime-switching models for estimating inflation uncertainty

Nalewaik, Jeremy - 2015

Persistent link: https://www.econbiz.de/10011410190

Regime-Switching Models for Estimating Inflation Uncertainty

Nalewaik, Jeremy - 2015

This paper constructs regime-switching models for estimating the probability of inflation returning to its relatively high levels of variability and persistence in the 1970s and 1980s. Forecasts and probabilities of extreme events from the models are evaluated against comparable estimates from...

Persistent link: https://www.econbiz.de/10013013460

Uncertainty in Empirical Climate Sensitivity Estimates 1850-2017

Munshi, Jamal - 2018

Atmospheric CO2 concentrations and surface temperature reconstructions in the study period 1850-2017 are used to estimate observed equilibrium climate sensitivity. Comparison of climate sensitivities in the first and second halves of the study period and a study of climate sensitivities in a...

Persistent link: https://www.econbiz.de/10012928468

Model and survey estimates of the term structure of US macroeconomic uncertainty

Clements, Michael P.; Galvão, Ana Beatriz C. - In: International journal of forecasting 33 (2017) 3, pp. 591-604

Persistent link: https://www.econbiz.de/10011746192

Structural models for policy-making: coping with parametric uncertainty

Eisenhauer, Philipp; Gabler, Janos; Janys, Lena - 2021

-in for the truth. This practice ignores uncertainty in the counterfactual policy predictions of the model. We develop a … generic approach that deals with parametric uncertainty using uncertainty sets and frames model-informed policymaking as a … decision problem under uncertainty. The seminal human capital investment model by Keane and Wolpin (1997) provides us with a …

Persistent link: https://www.econbiz.de/10012511752

Estimating the Markov-switching almost ideal demand systems : a Bayesian approach

Kabe, Satoshi; Kanazawa, Yuichiro - In: Empirical economics : a journal of the Institute for … 47 (2014) 4, pp. 1193-1220

Persistent link: https://www.econbiz.de/10010460086

Likelihood ratio test and information criteria for Markov switching var models : an application to the Italian macroeconomy

Cavicchioli, Maddalena - In: Italian economic journal 1 (2015) 3, pp. 315-332

Persistent link: https://www.econbiz.de/10011544821

A Markov-switching regression model with non-Gaussian innovations : estimation and testing

De Angelis, Luca; Viroli, Cinzia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011705723