In this study, we examine the nexus between oil tail risks and the realized variance of consumer prices in six advanced economies, namely, Canada, France, Germany, Japan, the United Kingdom, and the United States. Importantly, we estimate the oil tail risks following the Conditional...

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

This paper generalizes the popular stochastic volatility in mean model of Koopman and Hol Uspensky (2002) to allow for time-varying parameters in the conditional mean. The estimation of this extension is nontrival since the volatility appears in both the conditional mean and the conditional...

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

We investigate whether fluctuations in U.S. inflation rates are better described by infrequently occurring large shocks or by frequently occurring small shocks. We estimate a model that encompasses the two hypotheses within the framework of non-Gaussian state-space models. Our results indicate...

The aim of this paper is to investigate the evidence and implications of time-variation and asymmetry in the persistence of U.S. inflation. We evaluate these features by comparing the out-of-sample forecast performance of two specifications, a Quantile Auto-Regressive (QAR) model and a...

Global developments play an important role in domestic inflation rates. Previous literature has found that a substantial amount of the variation in a large set of national inflation rates can be explained by a single global factor. However, inflation volatility has been typically neglected,...

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To...

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...