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Anticipating Long-Term Stock Market Volatility (replication data)
We investigate the relationship between long-term US stock market risks and the macroeconomic environment using a two-component GARCH-MIDAS model. Our results show that... -
Commodity Price Volatility and the Sources of Growth (replication data)
This paper studies the impact of the growth and volatility of commodity terms of trade (CToT) on economic growth, total factor productivity, physical capital accumulation and... -
Speculation in the Oil Market (replication data)
The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price co-movement among different commodities. We assess whether... -
DSGE Models in the Frequency Domains (replication data)
We use frequency domain techniques to estimate a medium-scale dynamic stochastic general equilibrium (DSGE) model on different frequency bands. We show that goodness of fit,... -
Volatility of Price Indices for Heterogeneous Goods with Applications to the ...
Price indices for heterogeneous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investment...
