Details about Katerina Petrova

Access statistics for papers by Katerina Petrova.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: ppe1057

Working Papers

2024

1. Monetary Policy across Inflation Regimes
   Staff Reports, Federal Reserve Bank of New York View citations (2)
2. OLS Limit Theory for Drifting Sequences of Parameters on the Explosive Side of Unity
   Staff Reports, Federal Reserve Bank of New York
3. On the Validity of Classical and Bayesian DSGE-Based Inference
   Staff Reports, Federal Reserve Bank of New York

2022

4. Uniform and Distribution-Free Inference with General Autoregressive Processes
   Working Papers, Barcelona School of Economics View citations (4)
   Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2022) View citations (4)

2019

5. Time-varying cointegration and the UK great ratios
   Bank of England working papers, Bank of England View citations (1)
   Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2018)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018)

2018

6. Changing impact of shocks: a time-varying proxy SVAR approach
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
   See also Journal Article Changing Impact of Shocks: A Time‐Varying Proxy SVAR Approach, Journal of Money, Credit and Banking, Blackwell Publishing (2023) View citations (1) (2023)
7. Monetary Policy across Space and Time
   Working Paper, Federal Reserve Bank of Richmond View citations (2)
   See also Chapter Monetary Policy Across Space and Time, Advances in Econometrics, Emerald Group Publishing Limited (2022) View citations (1) (2022)
   Journal Article Monetary Policy across Space and Time, Richmond Fed Economic Brief, Federal Reserve Bank of Richmond (2019) View citations (1) (2019)

2017

8. A time varying parameter structural model of the UK economy
   Bank of England working papers, Bank of England View citations (4)
   See also Journal Article A time-varying parameter structural model of the UK economy, Journal of Economic Dynamics and Control, Elsevier (2019) View citations (8) (2019)

2015

9. A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
10. A Time Varying DSGE Model with Financial Frictions
    Working Papers, Queen Mary University of London, School of Economics and Finance
    See also Journal Article A time varying DSGE model with financial frictions, Journal of Empirical Finance, Elsevier (2016) View citations (20) (2016)

Journal Articles

2023

1. Changing Impact of Shocks: A Time‐Varying Proxy SVAR Approach
   Journal of Money, Credit and Banking, 2023, 55, (2-3), 635-654 View citations (1)
   See also Working Paper Changing impact of shocks: a time-varying proxy SVAR approach, Working Papers (2018) View citations (1) (2018)
2. Scalable inference for a full multivariate stochastic volatility model
   Journal of Econometrics, 2023, 232, (2), 501-520

2022

3. Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
   Journal of Econometrics, 2022, 230, (1), 154-182 View citations (4)

2021

4. Kernel-based Volatility Generalised Least Squares
   Econometrics and Statistics, 2021, 20, (C), 2-11

2020

5. Time-varying cointegration with an application to the UK Great Ratios
   Economics Letters, 2020, 193, (C) View citations (3)

2019

6. A quasi-Bayesian local likelihood approach to time varying parameter VAR models
   Journal of Econometrics, 2019, 212, (1), 286-306 View citations (42)
7. A time-varying parameter structural model of the UK economy
   Journal of Economic Dynamics and Control, 2019, 106, (C), - View citations (8)
   See also Working Paper A time varying parameter structural model of the UK economy, Bank of England working papers (2017) View citations (4) (2017)
8. Monetary Policy across Space and Time
   Richmond Fed Economic Brief, 2019, (August) View citations (1)
   See also Chapter Monetary Policy Across Space and Time, Advances in Econometrics, 2022, 44B, 37-64 (2022) View citations (1) (2022)
   Working Paper Monetary Policy across Space and Time, Working Paper (2018) View citations (2) (2018)
9. Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models
   Journal of Time Series Analysis, 2019, 40, (1), 151-157 View citations (2)

2016

10. A time varying DSGE model with financial frictions
    Journal of Empirical Finance, 2016, 38, (PB), 690-716 View citations (20)
    See also Working Paper A Time Varying DSGE Model with Financial Frictions, Working Papers (2015) (2015)

Chapters

2022

1. Monetary Policy Across Space and Time
   A chapter in Essays in Honour of Fabio Canova, 2022, vol. 44B, pp 37-64 View citations (1)
   See also Journal Article Monetary Policy across Space and Time, Federal Reserve Bank of Richmond (2019) View citations (1) (2019)
   Working Paper Monetary Policy across Space and Time, Federal Reserve Bank of Richmond (2018) View citations (2) (2018)