A New Approach to Identifying the Real Effects of Uncertainty Shocks

DOI10.1080/07350015.2018.1506342zbMATH Open1547.62916MaRDI QIDQ6626313

Unnamed Author, Minchul Shin

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• The Wishart autoregressive process of multivariate stochastic volatility
• The conditional autoregressive Wishart model for multivariate stock market volatility
• The Impact of Uncertainty Shocks
• Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
• Inference for VARs identified with sign restrictions
• Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
• MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS
• Factor Multivariate Stochastic Volatility via Wishart Processes
• Time Varying Structural Vector Autoregressions and Monetary Policy
• The Changing Transmission of Uncertainty Shocks in the U.S.

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