Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated … quasi-likelihood ratio tests favored the two-factor realized asymmetric stochastic volatility model with the standardized t … distribution among alternative specifications, and an analysis on out-of sample forecasts prefers the realized stochastic …

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 …

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