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The global component of inflation volatility

Carriero, Andrea; Corsello, Francesco; Marcellino, … - In: Journal of applied econometrics 37 (2022) 4, pp. 700-721

Persistent link: https://www.econbiz.de/10013332682

Model switching and model averaging in time-varying parameter regression models

Belmonte, Miguel; Koop, Gary - 2013

Persistent link: https://www.econbiz.de/10009735895

Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction

Li, Mengheng - 2018

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has …

Persistent link: https://www.econbiz.de/10012924242

Specification tests for time-varying parameter models with stochastic volatility

Chan, Joshua - 2015

Persistent link: https://www.econbiz.de/10011758150

Trend inflation estimates for Thailand from disaggregated data

Pym Manopimoke; Vorada Limjaroenrat - In: Economic modelling 65 (2017), pp. 75-94

Persistent link: https://www.econbiz.de/10011813600

Specification tests for time-varying parameter models with stochastic volatility

Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823

Persistent link: https://www.econbiz.de/10012040412

It's all about volatility of volatility : evidence from a two-factor stochastic volatility model

Grassi, Stefano; Santucci de Magistris, Paolo - In: Journal of empirical finance 30 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011489216

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …

Persistent link: https://www.econbiz.de/10011373825

An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach

Chen, Si; Zhou, Zhen; Li, Shenghong - In: Economic modelling 58 (2016), pp. 655-664

Persistent link: https://www.econbiz.de/10011647943

Modeling and forecasting time series of precious metals : a new approach to multifractal data

Oral, Emrah; Unal, Gazanfer - In: Financial innovation : FIN 5 (2019) 22, pp. 1-28

We introduce a novel approach to multifractal data in order to achieve transcended modeling and forecasting performances by extracting time series out of local Hurst exponent calculations at a specified scale. First, the long range and co-movement dependencies of the time series are scrutinized...

Persistent link: https://www.econbiz.de/10012266929