The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …

We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump …

This paper develops a two-block Structural Vector Autoregression featuring time-varying parameters and stochastic … volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …

We propose an unobserved components model with stochastic volatility and structural shocks to explore the relevant …

for stochastic volatility both at the regional and country specific level. Despite the share of national variance …

estimation methods. Specifically, we employ VAR models with drifting parameters and stochastic volatility which are used to …

optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the …