Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Bo Zhang, Joshua C.C. Chan, Jamie L. Cross
| Year of publication: |
2018
|
|---|---|
| Authors: | Zhang, Bo ; Chan, Joshua ; Cross, Jamie L. |
| Publisher: |
[Canberra] : Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis |
| Subject: | autoregressive moving average errors | stochastic volatility | inflation forecast | state space models | unobserved components model | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Inflation | Inflationsrate | Inflation rate | Schätzung | Estimation |
freely available
| Extent: | 1 Online-Ressource (circa 34 Seiten) Illustrationen |
|---|---|
| Series: | CAMA working paper series. - Canberra : [Verlag nicht ermittelbar], ZDB-ID 2468679-7. - Vol. 2018, 32 (June 2018) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012202537