Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
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Publication:4628443
DOI10.3982/ECTA14308zbMath1419.91308OpenAlexW4229721654MaRDI QIDQ4628443
Amir Yaron, Dongho Song, Frank Schorfheide
Publication date: 13 March 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta14308
asset pricingstochastic volatilityBayesian inferencemeasurement errorsparticle MCMCconsumption dynamicsnonlinear state-space modellong-run risksmixed frequency observations
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