Department of Economics and Business Economics

Transition from the Taylor rule to the zero lower bound

Research output: Working paperResearch

Documents

  • rp18_31

    Final published version, 675 KB, PDF-document

    Stan Hurn, School of Economics and Finance, Queensland University of Technology, AustraliaNicholas Johnson, School of Economics and Finance, Queensland University of Technology, AustraliaAnnastiina Silvennoinen, Queensland University of Technology, Australia
  • Timo Terasvirta
Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Pages21
Publication statusPublished - 3 Dec 2018
SeriesCREATES Research Papers
Number2018-31

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