Macroeconomics and Volatility: Data, Models, and Estimation
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- Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," CEPR Discussion Papers 8169, C.E.P.R. Discussion Papers.
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Cited by:
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011.
"Ambiguity and the historical equity premium,"
Documents de travail du Centre d'Economie de la Sorbonne
11032rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2015.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017. "Ambiguity and the Historical Equity Premium," Post-Print hal-01646155, HAL.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2012.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rrr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2016.
- Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Fabrice Collard & Sujoy Mukerji, 2017. "Ambiguity and the historical equity premium," Working Papers 835, Queen Mary University of London, School of Economics and Finance.
- Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00594096, HAL.
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"Polarized business cycles,"
Journal of Monetary Economics,
Elsevier, vol. 67(C), pages 47-61.
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"Dimensions of macroeconomic uncertainty: A common factor analysis,"
ifo Working Paper Series
167, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
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- Haroon Mumtaz & Konstantinos Theodoridis, 2015.
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"Computing DSGE Models with Recursive Preferences and Stochastic Volatility,"
Review of Economic Dynamics,
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- Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).
- Steffen Henzel & Elisabeth Wieland, 2013. "Synchronization and Changes in International Inflation Uncertainty," CESifo Working Paper Series 4194, CESifo Group Munich.
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- Dennis, Wesselbaum, 2012. "Stochastic Volatility in the U.S. Labor Market," MPRA Paper 43054, University Library of Munich, Germany.
- Luis Ceballos & Damián Romero, 2014. "Risk Matters: The Impact of Nominal Uncertainty in Chile," Working Papers Central Bank of Chile 741, Central Bank of Chile.
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- Kukacka, Jiri & Barunik, Jozef, 2017.
"Estimation of financial agent-based models with simulated maximum likelihood,"
Journal of Economic Dynamics and Control,
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- Kukacka, Jiri & Barunik, Jozef, 2016. "Estimation of financial agent-based models with simulated maximum likelihood," FinMaP-Working Papers 63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
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"Level and volatility factors in macroeconomic data,"
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JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
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