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Price volatility and risk with non-separability of preferences

Drees, Burkhard; Eckwert, Bernhard - In: Mathematical social sciences 39 (2000) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10001455759

Spectral welfare cost functions

Otrok, Christopher M. - In: International economic review 42 (2001) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10001577903

Computing DSGE models with recursive preferences and stochastic volatility

Caldara, Dario; Fernández-Villaverde, Jesús; … - 2012

Persistent link: https://www.econbiz.de/10009505593

Computing DSGE models with recursive preferences and stochastic volatility

Caldara, Dario; Fernández-Villaverde, Jesús; … - In: Review of economic dynamics 15 (2012) 2, pp. 188-206

Persistent link: https://www.econbiz.de/10010218753

Exchange rates dynamics with lung-run risk and recursive preferences

Kollmann, Robert - 2014

Persistent link: https://www.econbiz.de/10010483701

Exchange rates dynamics with long-run risk and recursive preferences

Kollmann, Robert - 2014

Persistent link: https://www.econbiz.de/10010440129

Wealth inequality, preference heterogeneity and macroeconomic volatility in two-sector economies

Ghiglino, Christian; Venditti, Alain - In: Journal of economic theory 135 (2007) 1, pp. 414-441

Persistent link: https://www.econbiz.de/10003546411

Exchange rates dynamics with long-run risk and recursive preferences

Kollmann, Robert - In: Open economies review 26 (2015) 2, pp. 175-196

Persistent link: https://www.econbiz.de/10011474105

Exchange rates dynamics with long-run risk and recursive preferences

Kollmann, Robert - 2014

Persistent link: https://www.econbiz.de/10011341969

Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component

Kumar, Manish - In: Journal of industrial engineering and management : JIEM 3 (2010) 1, pp. 199-220

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by...

Persistent link: https://www.econbiz.de/10011899155