Uncertainty across volatility regimes

We propose a nonrecursive identification scheme for uncertainty shocks that exploits breaks in the volatility of macroeconomic variables and is novel in the literature on uncertainty. This approach allows us to simultaneously address two major questions in the empirical literature: Is uncertainty a cause or effect of decline in economic activity? Does the relationship between uncertainty and economic activity change across macroeconomic regimes? Results based on a small‐scale vector autoregression with US monthly data suggest that (i) uncertainty is an exogenous source of decline of economic activity, and (ii) the effects of uncertainty shocks amplify in periods of economic and financial turmoil.     

味道好极了

是时候对速溶咖啡说声“拜拜”,见识饮料中的精品,真正的人间美味了。     

Consistent calibration of HJM models to cap implied volatilities

This article proposes a calibration algorithm that fits multifactor Gaussian models to the implied volatilities of caps with the use of the respective minimal consistent family to infer the forward‐rate curve. The algorithm is applied to three forward‐rate volatility structures and their combination to form two‐factor models. The efficiency of the consistent calibration is evaluated through comparisons with nonconsistent methods. The selection of the number of factors and of the volatility functions is supported by a principal‐component analysis. Models are evaluated in terms of in‐sample and out‐of‐sample data fitting as well as stability of parameter estimates. The results are analyzed mainly by focusing on the capability of fitting the market‐implied volatility curve and, in particular, reproducing its characteristic humped shape. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1093–1120, 2005     

Reducing the Mobility of SARS-CoV-2 Variants to Safeguard Containments

Intereconomics - Escape variants can cause new waves of COVID-19 outbreaks and put vaccination strategies at risk. To prevent or delay the global spread of these waves, virus mobility needs to be...