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Disentangling the Channels of the 2007–09 Recession
Disentangling the Channels of the 2007–09 Recession
2014/3/18
This paper examines the macroeconomic dynamics of the 2007–09 recession in the United States and the subsequent slow recovery. Using a dynamic factor model with 200 variables, we reach three main conc...
Disentangling diffusion from jumps
Poisson jumps Cauchy jumps Levy process Diffusion Maximum likelihood
2014/3/13
Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to dist...