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Level and volatility factors in macroeconomic data · Study

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ArticleLevel and volatility factors in macroeconomic data

Yuriy Gorodnichenko2017

OA

Articlebronze2017

Level and volatility factors in macroeconomic data

Yuriy Gorodnichenko · Serena Ng

25 citations·0/0 files stored·Journal of Monetary Economics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Economic theories and models

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2016Measuring Economic Policy Uncertainty*1998Generalized impulse response analysis in linear multivariate models 2009The Impact of Uncertainty Shocks 2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2015Measuring Uncertainty 2002Macroeconomic Forecasting Using Diffusion Indexes

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2021Macroeconomic data transformations matter

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Year2017

Typearticle

Published2017-09-06

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations25

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jmoneco.2017.09.004

openalex_workW2746613014

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