What does financial volatility tell us about macroeconomic fluctuations?

DOI10.1016/j.jedc.2015.01.002zbMath1402.91423OpenAlexW1823515206MaRDI QIDQ1624058

Marcelle Chauvet, Emre Yoldas, Zeynep Senyuz

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/feds/2012/201209/201209pap.pdf

zbMATH Keywords

Markov switchingdynamic factor modelfinancial volatilityreal-time datapredictive ability tests

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (4)

Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China ⋮ Parametric estimation of long memory in factor models ⋮ Estimation of fractionally integrated panels with fixed effects and cross-section dependence ⋮ Testing for Granger causality in large mixed-frequency VARs

Cites Work

• Unnamed Item
• What does the yield curve tell us about GDP growth?
• In-sample tests of predictive ability: a new approach
• Dynamic linear models with Markov-switching
• The Impact of Uncertainty Shocks
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• The Distribution of Realized Exchange Rate Volatility
• Asymptotic Inference about Predictive Ability
• Modeling and Forecasting Realized Volatility

This page was built for publication: What does financial volatility tell us about macroeconomic fluctuations?