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Volatile policy and private information : the case of monetary policy

Jones, Larry E.; Manuelli, Rodolfo E. - 1999

Persistent link: https://www.econbiz.de/10001379622

Volatile policy and private information : the case of monetary shocks

Jones, Larry E.; Manuelli, Rodolfo E. - In: Journal of economic theory 99 (2001) 1/2, pp. 265-296

Persistent link: https://www.econbiz.de/10001604687

Volatile Policy and Private Information : the Case of Monetary Policy

Jones, Larry; Manuelli, Rody - 2021

In this paper we study how volatility in monetary policy affects economic performance in the presence of endogenously chosen information structures. To isolate the effects produced by the interaction of uncertainty in monetary policy and (possibly) asymmetric information, we consider a model in...

Persistent link: https://www.econbiz.de/10013230773

Unemployment fluctuations with staggered Nash wage bargaining

Gertler, Mark; Trigari, Antonella - In: Journal of political economy 117 (2009) 1, pp. 38-86

Persistent link: https://www.econbiz.de/10003842139

Unemployment fluctuations with staggered nash wage bargaining

Gertler, Mark; Trigari, Antonella - 2006

Persistent link: https://www.econbiz.de/10003374747

Unemployment fluctuation with staggered Nash wage bargaining

Gertler, Mark (contributor); Trigari, Antonella (contributor) - 2006

Persistent link: https://www.econbiz.de/10003448455

Volatile Policy and Private Information : The Case of Monetary Policy

Jones, Larry E. - 1999

Persistent link: https://www.econbiz.de/10012471724

Particle Filters for Markov Switching Stochastic Volatility Models

Yun, Bao; Chiarella, Carl; Kang, Boda - 2012

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …-based algorithm is presented for the method which demonstrated that we are able to estimate a class of models in which the probability …

Persistent link: https://www.econbiz.de/10014164616

Algorithmic Approach to Delta-Hedging : Researching Realized FX Volatility at Micro Level

Sorokin, Valery - 2017

I present substantially extended back-testing results of the algorithmic approach to delta-hedging described in my earlier paper. Along with previously researched EURUSD straddles I research USDJPY and GBPUSD straddles as well as call and put spread option combinations. Back-tested period is...

Persistent link: https://www.econbiz.de/10012949449

Dynamic discrete mixtures for high-frequency prices

Catania, Leopoldo; Di Mari, Roberto; Santucci de … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 559-577

Persistent link: https://www.econbiz.de/10013533453