This study was carried out to estimate underlying inflation in Nigeria using Unobserved Component (UC) model. Also, different channels were used to identify the source of inflation persistence and volatility. This was estimated using Bayesian analysis in order to examine the role of priors in...

We document five novel empirical findings on the well-known potential ordering drawback associated with the time-varying parameter vector autoregression with stochastic volatility developed by Cogley and Sargent (2005) and Primiceri (2005), CSP-SV. First, the ordering does not affect point...

In this study, we extend the standard economic model of suicide by considering a new influential factor driving the voluntary death rate. Using an international sample, we estimate the model and document a robust and significant inverse relationship between stock market returns and the...

Measurement errors and structural breaks are important factors affecting the forecasting accurancy of volatility in the oil futures market. To capture these key points in one uniform forecasting model, we propose the MRS-HARQ-type model by simultaneously introducing the modification of...

It is well-known that the market prices of options produce implied volatilities that inexplicably vary by exercise price in a pattern often referred to as the volatility smile. This paper shows that not only do market prices produce volatility smiles, but so do model prices. This result occurs...