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The global component of inflation volatility (replication data)
Global developments play an important role for domestic inflation rates. Earlier literature has found that a substantial amount of the variation in a large set of national... -
No‐arbitrage priors, drifting volatilities, and the term structure of interes...
We use a Bayesian vector autoregression with stochastic volatility to forecast government bond yields. We form the conjugate prior from a no-arbitrage affine term structure...
