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Macroeconomics and Volatility: Data, Models, and Estimation
16 references·16 citing·31 second hopsampled
Macroeconomics and Volatility: Data, Models, and Estimation (2010)Macroeconomics and Volatility: Data, Mode…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Bayesian Analysis of DSGE Models (2007)Bayesian Analysis of DSGE Mod…Were There Regime Switches in U.S. Monetary Policy? (2006)Were There Regime Switches in…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Solving dynamic general equilibrium models using a second-order approximation to the policy function (2003)Solving dynamic general equil…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…5 Stochastic volatility (1996)5 Stochastic volatilityThreshold heteroskedastic models (1994)Threshold heteroskedastic mod…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Time to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Fiscal policy uncertainty and the business cycle: Time series evidence from Italy (2020)Fiscal policy uncertainty and…Does partisan conflict deter FDI inflows to the US? (2019)Does partisan conflict deter …Volatility-of-Volatility Risk (2018)Volatility-of-Volatility RiskAmbiguity and the historical equity premium (2018)Ambiguity and the historical …Real-time forecast evaluation of DSGE models with stochastic volatility (2017)Real-time forecast evaluation…Estimation of financial agent-based models with simulated maximum likelihood (2017)Estimation of financial agent…Testing for time variation in an unobserved components model for the U.S. economy (2016)Testing for time variation in…DIMENSIONS OF MACROECONOMIC UNCERTAINTY: A COMMON FACTOR ANALYSIS (2016)DIMENSIONS OF MACROECONOMIC U…The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply? (2015)The macroeconomic impact of f…Polarized business cycles (2014)Polarized business cyclesIdentifying Long-Run Risks: A Bayesian Mixed-Frequency Approach (2014)Identifying Long-Run Risks: A…Financial Risk Measurement for Financial Risk Management (2013)Financial Risk Measurement fo…Estimation and Evaluation of DSGE Models: Progress and Challenges (2013)Estimation and Evaluation of …Fiscal Policy and Asset Prices with Incomplete Markets (2012)Fiscal Policy and Asset Price…Financial Risk Measurement for Financial Risk Management (2012)Financial Risk Measurement fo…Computing DSGE models with recursive preferences and stochastic volatility (2011)Computing DSGE models with re…ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)The equity premium: A puzzle (1985)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Policy Uncertainty and Corporate Investment (2015)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 2007Bayesian Analysis of DSGE Models1,367 cited
  • 2003Solving dynamic general equilibrium models using a second-order approximation to the policy function1,216 cited

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  • 19965 Stochastic volatility1,189 cited
  • Cited by

    • 2011Computing DSGE models with recursive preferences and stochastic volatility182 cited
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    • 2013Financial Risk Measurement for Financial Risk Management105 cited
    • 2014Polarized business cycles102 cited
    • 2019Does partisan conflict deter FDI inflows to the US?98 cited
    • 2013Estimation and Evaluation of DSGE Models: Progress and Challenges91 cited
    • 2014Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach78 cited
    • 2018Ambiguity and the historical equity premium73 cited
    • 2012Fiscal Policy and Asset Prices with Incomplete Markets72 cited
    • 2015The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?70 cited
    • 2017Estimation of financial agent-based models with simulated maximum likelihood64 cited
    • 2016DIMENSIONS OF MACROECONOMIC UNCERTAINTY: A COMMON FACTOR ANALYSIS62 cited
    • 2020Fiscal policy uncertainty and the business cycle: Time series evidence from Italy58 cited
    • 2016Testing for time variation in an unobserved components model for the U.S. economy51 cited
    • 2017Real-time forecast evaluation of DSGE models with stochastic volatility50 cited
    • 2012Financial Risk Measurement for Financial Risk Management43 cited