Search Results - subject:"time varying parameter model"

Investors' risk perceptions in the US and global stock market integration

Marfatia, Hardik A. - In: Research in international business and finance 52 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012548544

Interdependence or contagion : a model switching approach with a focus on Latin America

Davidson, Sharada Nia - In: Economic modelling 85 (2020), pp. 166-197

Persistent link: https://www.econbiz.de/10012210622

Forecasting interconnections in international housing markets : evidence from the dynamic model averaging approach

Marfatia, Hardik A. - In: Journal of real estate research : JRER ; a publication … 42 (2020) 1, pp. 37-104

Persistent link: https://www.econbiz.de/10012313451

Inflation persistence in Turkey : a TVP-estimation approach

Bilici, Berk; Çekin, Semih Emre - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 64-69

Persistent link: https://www.econbiz.de/10012431158

Macroeconomic nowcasting using Google probabilities

Koop, Gary; Onorante, Luca - 2019

Persistent link: https://www.econbiz.de/10012244142

Modelling Inflation Volatility

Eisenstat, Eric; Strachan, Rodney W. - Crawford School of Public Policy, Australian National … - 2014

This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded process, as implied by the random walk, conflicts with...

Persistent link: https://www.econbiz.de/10010904219