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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... -
Econometric Regime Shifts and the US Subprime Bubble (replication data)
Using aggregate quarterly data for the period 1975:Q1-2010:Q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly... -
IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL ...
The likelihood of the parameters in structural macroeconomic models typically has non-identification regions over which it is constant. When sufficiently diffuse priors are... -
Macroeconomic forecasting and structural change (replication data)
The aim of this paper is to assess whether modeling structural change can help improving the accuracy of macroeconomic forecasts. We conduct a simulated real-time out-of-sample... -
Does the option market produce superior forecasts of noise-corrected volatili...
This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the... -
Annual miles drive used car prices (replication data)
This paper investigates whether the net benefits from owning a vehicle, proxied by annual miles driven, explain the price declines observed over a vehicle's life. We first model... -
Consumer benefits from increased competition in shopping outlets: Measuring t...
Non-traditional retail outlets, including supercenters, warehouse club stores, and mass merchandisers, have nearly doubled their share of consumer food-at-home expenditures in... -
Unemployment and liquidity constraints (replication data)
We present a dynamic framework for the interaction between borrowing (liquidity) constraints and deviations of actual hours from desired hours, both measured by discrete-valued... -
The transmission mechanism in a changing world (replication data)
The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European... -
This is what the leading indicators lead (replication data)
We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy...
