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“Markov Switching Models for Volatility: Filtering, Approximation and Duality”
Billio, Monica; Cavicchioli, Maddalena - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013
This paper is devoted to show duality in the estimation of Markov Switching (MS) processes for volatility. It is well …-known that MS-GARCH models suffer of path dependence which makes the estimation step unfeasible with usual Maximum Likelihood … unique framework to reconcile the estimation obtained by the Kalman Filter and with some auxiliary models proposed in the …
Persistent link: https://www.econbiz.de/10010705529
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Structural Macroeconomic Analysis for Dynamic Factor Models
Cavicchioli, Maddalena - In: Rivista di Politica Economica (2011) 4, pp. 39-69
In this work we review some recent papers concerned with large dynamic factor model (LDFM) and its applications to structural macroeconomic analysis. Using this theory, we present a new empirical application on the effects of technology and non technology shocks on hours worked.
Persistent link: https://www.econbiz.de/10010575291
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A triparametric discrete distribution with complex parameters
Rodríguez-Avi, José; Conde-Sánchez, Antonio; … - In: Statistical Papers 45 (2004) 1, pp. 81-95
Persistent link: https://www.econbiz.de/10008533844
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A new class of discrete distributions with complex parameters
Rodríguez-Avi, José; Conde-Sánchez, Antonio; … - In: Statistical Papers 44 (2003) 1, pp. 67-88
Persistent link: https://www.econbiz.de/10005167173