NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data

Jesús Fernández-Villaverde, Pablo Guerrón-Quintana, Juan F. Rubio-Ramírez

NBER Working Paper No. 15928
Issued in April 2010

---- Acknowledgements -----

We thank André Kurmann, Jim Nason, Serena Ng, Ricardo Reis, Frank Schorfheide, Tao Zha, and participants at several seminars for useful comments, and Béla Személy for invaluable research assistance. Beyond the usual disclaimer, we must note that any views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Atlanta, the Federal Reserve Bank of Philadelphia, or the Federal Reserve System. Finally, we also thank the NSF for financial support. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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