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Search: subject:"stochasticvolatility"
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3
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Kaufmann, Daniel
3
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Gianfreda, Angelica
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Grishchenko, Olesya
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ECONIS (ZBW)
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1
Inflations and its uncertainty in some ECOWAS member states: Transfer entropy approach
Otoakhia, Eric I.
- In:
CBN Journal of Applied Statistics
12
(
2021
)
2
,
pp. 87-124
This study examines the information flow between inflation and inflation uncertainty (IU) and intrastate inflationary trend among some ECOWAS member states. IU is measured using GARCH models and stochastic volatility model (SV). Transfer en- tropy was adopted to quantify the extent of...
Persistent link: https://www.econbiz.de/10015127133
Saved in:
2
Blurred Crystal Ball: investigating the forecasting challenges after a great exogeneous shock
Aragão, Marcelo A. T.
-
2021
Persistent link: https://www.econbiz.de/10012628049
Saved in:
3
Inflations and its uncertainty in some ECOWAS member states : transfer entropy approach
Otoakhia, Eric I.
- In:
CBN journal of applied statistics
12
(
2021
)
2
,
pp. 87-124
This study examines the information flow between inflation and inflation uncertainty (IU) and intrastate inflationary trend among some ECOWAS member states. IU is measured using GARCH models and stochastic volatility model (SV). Transfer en- tropy was adopted to quantify the extent of...
Persistent link: https://www.econbiz.de/10013272878
Saved in:
4
Large time-varying volatility models for electricity prices
Gianfreda, Angelica
;
Ravazzolo, Francesco
;
Rossini, Luca
-
2020
Persistent link: https://www.econbiz.de/10012437473
Saved in:
5
Nominal stability over two centuries
Kaufmann, Daniel
- In:
Swiss Journal of Economics and Statistics
155
(
2019
)
7
,
pp. 1-23
transitory measurement errors, in particular in nineteenth century data, I use an unobserved-components
stochastic-volatility
…
Persistent link: https://www.econbiz.de/10013205769
Saved in:
6
Nominal stability over two centuries
Kaufmann, Daniel
- In:
Swiss journal of economics and statistics
155
(
2019
)
7
,
pp. 1-23
transitory measurement errors, in particular in nineteenth century data, I use an unobserved-components
stochastic-volatility
…
Persistent link: https://www.econbiz.de/10012041708
Saved in:
7
The joint dynamics of U.S. and euro-area inflation rates : expectations and timevarying uncertainty
Grishchenko, Olesya
;
Mouabbi, Sarah
;
Renne, Jean-Paul
-
2017
Persistent link: https://www.econbiz.de/10011647288
Saved in:
8
Nominal stability and Swiss monetary regimes over two centuries
Kaufmann, Daniel
-
2015
nominal GDP changes. The trends of these indicators are estimated by an unobserved-components
stochastic-volatility
model in …
Persistent link: https://www.econbiz.de/10011307782
Saved in:
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