Search Results - subject:"stochastic volatility"

Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study

Eratalay, M. Hakan - In: International Econometric Review (IER) 8 (2016) 2, pp. 19-52

(MCL) methods through Monte Carlo studies for several multivariate stochastic volatility models, among which we consider …

Persistent link: https://www.econbiz.de/10012610961

Bayesian Dynamic Modeling of High-Frequency Integer Price Changes

Barra, Istvan; Koopman, Siem Jan - 2016

distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intra-day periodic …. In particular, we introduce a dynamic version of the negative binomial difference model with stochastic volatility. For …

Persistent link: https://www.econbiz.de/10011526105

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model …

Persistent link: https://www.econbiz.de/10011526121

The state level impact of uncertainty shocks

Mumtaz, Haroon; Sunder-Plassmann, Laura; … - 2016

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

Persistent link: https://www.econbiz.de/10011448758

From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis

Castillo B., Paul; Montoya, Jimena; Quineche, Ricardo - 2016

Persistent link: https://www.econbiz.de/10011503984

The evolving transmission of uncertainty shocks in the United Kingdom

Mumtaz, Haroon - In: Econometrics : open access journal 4 (2016) 1, pp. 1-18

This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on key macroeconomic and financial...

Persistent link: https://www.econbiz.de/10011505897