The semiparametric asymmetric stochastic volatility model with time-varying parameters : the case of US inflation
Stefanos Dimitrakopoulos
| Year of publication: |
June 2017
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|---|---|
| Authors: | Dimitrakopoulos, Stefanos |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 155.2017, p. 14-18
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| Subject: | Asymmetric stochastic volatility | Dirichlet process | Markov chain Monte Carlo | Time-varying parameters | Inflation | Markov-Kette | Markov chain | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | USA | United States | Inflationsrate | Inflation rate | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2017.02.039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011821483