Forward guidance and the predictability of monetary policy: a wavelet-based jump detection approach

Author:

Winkelmann Lars1

Affiliation:

1. Freie Universität Berlin; Germany

Funder

Deutsche Forschungsgemeinschaft

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference41 articles.

1. Analyzing the spectrum of asset returns: jump and volatility components in high frequency data;Aït-Sahalia;J. Econ. Lit.,2012

2. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications;Andersen;J. Econmetr.,2007

3. Andersson , M. Hofmann , B. 2009 Gauging the effectiveness of quantitative forward guidance: evidence from three inflation targeter. Working Paper 1098

4. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielsen;J. Finan. Econmetr.,2004

5. Adaptive linear step-up procedures that control the false discovery rate;Benjamini;Biometrika,2006

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