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• 2016

  Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century

  Amir-Ahmadi, P., Matthes, C. & Wang, M. C., Jul 1 2016, In: Quantitative Economics. 7, 2, p. 591-611 21 p.

  Research output: Contribution to journal › Article › peer-review

  • Monetary Policy Shocks
  • Measurement Error
  • Multivariate Time Series
  • Time-varying Parameters
  • Stochastic Volatility
• 2020

  Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

  Amir-Ahmadi, P., Matthes, C. & Wang, M. C., Jan 2 2020, In: Journal of Business and Economic Statistics. 38, 1, p. 124-136 13 p.

  Research output: Contribution to journal › Article › peer-review

  • Time-varying Parameter Model
  • Time-varying Parameters
  • Hyperparameters
  • Monte Carlo Simulation
  • Hierarchical Model