Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Bo Zhang, Joshua C.C. Chan, Jamie L. Cros
| Year of publication: |
2020
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|---|---|
| Authors: | Zhang, Bo ; Chan, Joshua ; Cross, Jamie |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 4, p. 1318-1328
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| Subject: | Autoregressive moving average errors | Stochastic volatility | Inflation forecast | State space models | Unobserved components model | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Inflation | ARMA-Modell | ARMA model | Inflationsrate | Inflation rate | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2020.01.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012546706