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The asymmetric effects of uncertainty on inflation and output growth (replica...
We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased... -
Modelling and forecasting level shifts in absolute returns (replication data)
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic... -
A non-linear filtering approach to stochastic volatility models with an appli...
This paper develops a new model for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is difficult to evaluate the exact...
