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Modelling volatility cycles: the MF2-GARCH model (replication data)
We propose a novel multiplicative factor multi-frequency GARCH (MF2-GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one-component... -
Nonlinearities in macroeconomic tail risk through the lens of big data quanti...
Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in... -
Exchange rates and macroeconomic fundamentals (replication data)
We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor... -
US Weekly Economic Index: Replication and extension (replication data)
Replication materials for "US Weekly Economic Index: Replication and extension", by Philipp Wegmueller and Christian Glocker, Journal of Applied Econometrics, forthcoming.
