Sectoral Uncertainty: A Hierarchical-Volatility Approach

DOI10.1080/07350015.2025.2473907MaRDI QIDQ7229803zbMATH OpenFDO

Authors Efrem Castelnuovo

Publication date 17 April 2026

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2025.2473907

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Analysis of high dimensional multivariate stochastic volatility models
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• Improved penalization for determining the number of factors in approximate factor models
• Local projections and VARs estimate the same impulse responses
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• Really uncertain business cycles
• Stochastic volatility with leverage: fast and efficient likelihood inference
• The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty
• The Impact of Uncertainty Shocks
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• Uncertainty and Consumer Durables Adjustment
• Uncertainty shocks in a model of effective demand

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