Search Results - subject:"Stochastic volatility."

The evolving impact of global, region-specific and country-specific uncertainty

Mumtazy, Haroon; Mussoz, Alberto - 2018

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several …

Persistent link: https://www.econbiz.de/10012144210

Changing impact of shocks: A time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10012144217

Effectiveness of monetary and macroprudential shocks on consumer credit growth and volatility in Turkey

Chadwick, Meltem Gulenay - In: Central Bank Review (CBR) 18 (2018) 2, pp. 69-83

conduct our analysis, first, we compare a number of stochastic volatility models using our loan and credit card series in a …

Persistent link: https://www.econbiz.de/10012217568

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10012429974

Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Walther, Thomas - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance …-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility …

Persistent link: https://www.econbiz.de/10012611007

Use of adapted particle filters in SVJD models

Fičura, Milan; Witzany, Jiří - In: European Financial and Accounting Journal 13 (2018) 3, pp. 5-20

Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump …

Persistent link: https://www.econbiz.de/10012623003

Is the US Phillips Curve Stable? Evidence from Bayesian VARs

Karlsson, Sune; Österholm, Pär - 2018

. Specifically, we assess the importance of time-varying parameters and stochastic volatility. Using new tools for model selection …, we find support for both time-varying parameters and stochastic volatility. Interpreting the Phillips curve as the …

Persistent link: https://www.econbiz.de/10012654433