Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:wavelets OR Wavelets 

Working Paper
Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

We study the behavior of key macroeconomic variables in the time and frequency domain. For this purpose, we decompose U.S. time series into various frequency components. This allows us to identify a set of stylized facts: GDP growth is largely a high-frequency phenomenon whereby inflation and nominal interest rates are characterized largely by low-frequency components. In contrast, unemployment is a medium-term phenomenon. We use these decompositions jointly in a structural VAR where we identify monetary policy shocks using a sign restriction approach. We find that monetary policy shocks ...
Working Paper , Paper 19-6

Working Paper
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance?but still mean reverting?behavior is commonly found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully parametric Bayesian estimator, robust to nonstationarity, is designed for the fractionally integrated, autoregressive, stochastic volatility (SV-FIAR) model. Joint estimates of the autoregressive and fractional differencing parameters ...
FRB Atlanta Working Paper , Paper 2015-12

FILTER BY year

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C11 1 items

C14 1 items

C22 1 items

C32 1 items

C51 1 items

E32 1 items

show more (1)

FILTER BY Keywords

Wavelets 2 items

Bayes 1 items

DSGE model 1 items

Markov chain Monte Carlo 1 items

SVAR 1 items

bandpass filter 1 items

show more (6)

PREVIOUS / NEXT