What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?
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- Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high‐frequency uncertainty shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 662-679, August.
- Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," Working Papers hal-04141416, HAL.
- Laurent Ferrara & Pierre Guérin, 2018. "What are the macroeconomic effects of high-frequency uncertainty shocks?," Post-Print hal-02334586, HAL.
- Laurent Ferrara & Pierre Guérin, 2016. "What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks," Staff Working Papers 16-25, Bank of Canada.
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More about this item
Keywords
MIDAS model; Mixed-frequency VAR; Uncertainty.;All these keywords.
JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2015-04-19 (Macroeconomics)
- NEP-MST-2015-04-19 (Market Microstructure)
Statistics
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