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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are 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...

Persistent link: https://www.econbiz.de/10011809984

Oil price volatility models during coronavirus crisis : testing with appropriate models using further univariate GARCH and Monte Carlo simulation models

Bouazizi, Tarek; Lassoued, Mongi; Hadhek, Zouhaier - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 1, pp. 281-292

Persistent link: https://www.econbiz.de/10012587611

Value at risk models in Indian markets : a predictive ability evaluation study

Goel, Kushagra; Oswal, Sunny - In: Theoretical economics letters 9 (2019) 8, pp. 2824-2838

Persistent link: https://www.econbiz.de/10012214623

GMM estimation of a stochastic volatility model with realized volatility: a Monte Carlo study

Chaussé, Pierre; Xu, Dinghai - 2012

Persistent link: https://www.econbiz.de/10009612401

Testing for heteroskedastic mixture of ordinary least squares errors

Senarathne, Chamil W; Wei, Jianguo - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 73-91

Persistent link: https://www.econbiz.de/10012422500

The COVID-19 and stock return volatility : evidence from South Korea

Pyo, Dong-Jin - In: East Asian economic review 25 (2021) 2, pp. 205-230

Persistent link: https://www.econbiz.de/10012620806

Structural changes in volatility of foreign exchange rates after the Asian financial crisis

Nakatsuma, Teruo - In: Asia-Pacific financial markets 7 (2000) 1, pp. 69-82

Persistent link: https://www.econbiz.de/10001506576

Change in volatility in the won US dollar daily exchange rate : stochastic volatility model

Lee, Jinsoo - In: Asia-Pacific financial markets 7 (2000) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10001506579

Estimating stochastic volatility models through indirect inference

Monfardini, Chiara - In: The econometrics journal 1 (1998) 1, pp. 113-128

Persistent link: https://www.econbiz.de/10001443684

Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321

Persistent link: https://www.econbiz.de/10001401125

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