Probabilistic Approach to Assessing Macroeconomic Uncertainties

PRAMU

ESRC/ORA Project

Working Papers


Charemza, W., Francq, C., Makarova, S. and Zakoïan, J.M. (2015), Testing for Policy Effects in ARMA-GARCH Model, University of Leicester Working Paper (forthcoming).

Charemza, W., Díaz, C. and Makarova, S. (2015), Choosing the Right Skew Normal Distribution: the Macroeconomist’ Dilemma, University of Leicester Working Paper No. 15/08.

Charemza, W., Díaz, C. and Makarova, S. (2015), Conditional Term Structure of Inflation Forecast Uncertainty: The Copula Approach, University of Leicester Working Paper No. 15/07. Additional material: Estimation results Results_Canada_headline Results_Canada_core Results_USA_headline Results_USA_core

Makarova, S. (2014), Risk and Uncertainty: Macroeconomic Perspective, UCL SSEES Economic and Business Working Paper No. 129.

Charemza, W., Díaz, C. and Makarova, S. (2014), Term Structure of Inflation Forecast Uncertainties and Skew Normal Distributions, University of Leicester Working Paper 14/01.

Francq,C. and Sucarrat, G. (2013), An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation, MPRA Paper 51783, University Library of Munich, Germany.

Charemza, W., Diaz Vela, C. and Makarova, S. (2013), Too Many Skew Normal Distributions? The Practitioner’s Perspective, University of Leicester Working Paper 13/07.

Charemza, W., Diaz Vela, C. and Makarova, S. (2013) Inflation Fan Charts, Monetary Policy and Skew Normal Distribution, University of Leicester Working Paper 13/06.

Charemza, W., Makarova, S. and Shah, I. (2013) Making the Most of High Inflation, UCL SSEES Economic and Business Working Paper No. 124. Published: Applied Economics47, 3723-3739, 2015.

Francq, C. and Meintanis, S. (2012) Fourier--type Estimation of the Power GARCH Model with Stable--Paretian Innovations, MPRA Paper 41667, University Library of Munich, Germany.

Jelonek, P. (2012) Generating Tempered Stable Random Variates from Mixture Representation, University of Leicester Working Paper 12/14.

Francq, C. and Zakoian, J-M. (2011) Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions, Working Papers 2011-30, Centre de Recherche en Economie et Statistique. Published: Journal of Business and Economics Statistics, 31(4), 412-425, 2013.