2 papers
econ.EM2026
Nonlinear Drivers of Macroeconomic Tail Risk: A Threshold Stochastic Volatility-in-Mean VAR with Regime-Dependent Leverage
Haroon Mumtaz, Sofia Velasco
The tails of macroeconomic outcomes can respond differently from the centre of their distribution to aggregate shocks. We demonstrate this via a threshold stochastic-volatility-in-…
econ.EM2026
A Dynamic Factor Model for Level and Volatility
Haroon Mumtaz, Sofia Velasco
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a l…