Macroeconomics and Volatility: Data, Models, and Estimation

Jesús Fernández-Villaverde, Juan Rubio-Ramírez

NBER Working Paper No. 16618
Issued in December 2010

---- Acknowledgements -----

We thank Pablo Guerrón, a coauthor in some of the research discussed here, 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 System, or the National Bureau of Economic Research. Finally, we also thank the NSF for financial support.

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