This paper describes a weekly economic index (WEI) developed to track the rapid developments associated with onset of and policy response novel coronavirus in United States. The WEI, its ten component series, tracks overall economy. Comparing contributions WEI's components 2008 2020 recessions reveals differences how two events played out at high frequency. During collapse recovery, it provides...

Recently, to account for low-frequency market dynamics, several volatility models, employing high-frequency financial data, have been developed. However, in markets, we often observe that processes depend on economic states, so they a state heterogeneous structure. In this paper, study dynamics based introduce novel model continuous Ito diffusion process whose intraday instantaneous evolves dep...

Due to the fact that at end of 2014 Central Bank made transition a new monetary policy regime for Russia — inflation targeting regime, problem forecasting rates became more relevant than ever. In it is important estimate future rate as quickly possible in order take measures return target level. addition, effective policy, households must trust actions authorities and they be aware dynamics inf...