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Level and volatility factors in macroeconomic data
16 references·2 citing·29 second hop
Level and volatility factors in macroeconomic data (2017)Level and volatility factors in macroecon…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyFRED-MD: A Monthly Database for Macroeconomic Research (2015)FRED-MD: A Monthly Database f…Fiscal Volatility Shocks and Economic Activity (2015)Fiscal Volatility Shocks and …The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…The Time-Varying Volatility of Macroeconomic Fluctuations (2008)The Time-Varying Volatility o…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Solving dynamic general equilibrium models using a second-order approximation to the policy function (2003)Solving dynamic general equil…Solving Linear Rational Expectations Models (2002)Solving Linear Rational Expec…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Macroeconomic data transformations matter (2021)Macroeconomic data transforma…A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting (2020)A Factor Model Analysis of th…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Large Bayesian vector auto regressions (2009)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Measuring Geopolitical Risk (2022)The Role of Monetary Policy (1995)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
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  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2003Solving dynamic general equilibrium models using a second-order approximation to the policy function1,216 cited
  • 2002Solving Linear Rational Expectations Models1,104 cited
  • 2015Fiscal Volatility Shocks and Economic Activity942 cited
  • 2015FRED-MD: A Monthly Database for Macroeconomic Research908 cited

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  • 2008The Time-Varying Volatility of Macroeconomic Fluctuations844 cited
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    • 2021Macroeconomic data transformations matter43 cited
    • 2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting11 cited