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Expected market returns: SVIX, realized volatility, and the role of dividends...
This note provides a replication of Martin's (Quarterly Journal of Economics, 2017, 132(1), 367-433) finding that the implied volatility measure SVIX predicts US stock market... -
Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Actual and counterfactual growth incidence and delta Lorenz curves: Estimatio...
Different economic growth episodes display very different distributional characteristics, both across countries and over time. Growth is sometimes accompanied by rising and...
