Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data
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- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," CEPR Discussion Papers 7813, C.E.P.R. Discussion Papers.
- Juan Rubio-Ramirez & Jesus Fernandez-Villaverde & Pablo A. Guerron-Quintana, 2010. "Fortune or Virtue: Time Variant Volatilities versus Parameter Drifting in U.S. Data," 2010 Meeting Papers 270, Society for Economic Dynamics.
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More about this item
Keywords
DSGE models; Stochastic volatility; Parameter drifting; Bayesian methods;All these keywords.
JEL classification:
- E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2010-05-08 (Business Economics)
- NEP-CBA-2010-05-08 (Central Banking)
- NEP-DGE-2010-05-08 (Dynamic General Equilibrium)
- NEP-ETS-2010-05-08 (Econometric Time Series)
- NEP-MAC-2010-05-08 (Macroeconomics)
- NEP-ORE-2010-05-08 (Operations Research)
Statistics
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