EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Research Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Stochastic volatility"
Narrow search

Narrow search

Year of publication
Subject
All
Stochastic volatility 917 stochastic volatility 896 Volatilität 844 Volatility 807 Stochastischer Prozess 749 Stochastic process 726 Optionspreistheorie 346 Option pricing theory 342 Theorie 340 Theory 311 Schätzung 298 Estimation 291 Stochastic Volatility 195 Zeitreihenanalyse 177 Bayesian inference 172 Time series analysis 168 Bayes-Statistik 164 Prognoseverfahren 147 Stochastische Volatilität 142 Forecasting model 141 Monte Carlo simulation 130 VAR-Modell 127 VAR model 120 Monte-Carlo-Simulation 112 ARCH-Modell 103 Kapitaleinkommen 96 ARCH model 95 Markov chain 95 Börsenkurs 94 Capital income 94 Markov-Kette 92 Konjunktur 91 Business cycle 90 GARCH 90 Schätztheorie 89 Share price 89 Risiko 87 Risk 87 Estimation theory 86 option pricing 74
more ... less ...
Online availability
All
Free 978 Undetermined 745
Type of publication
All
Book / Working Paper 1,004 Article 994 Other 7
Type of publication (narrower categories)
All
Article in journal 625 Aufsatz in Zeitschrift 625 Working Paper 386 Graue Literatur 244 Non-commercial literature 244 Arbeitspapier 234 Article 32 Aufsatz im Buch 15 Book section 15 Thesis 14 Hochschulschrift 13 Collection of articles written by one author 4 Sammlung 4 Collection of articles of several authors 3 Conference Paper 3 Sammelwerk 3 Aufsatzsammlung 2 Conference paper 2 Konferenzbeitrag 2 Commentary 1 Kommentar 1 Konferenzschrift 1 Systematic review 1 Übersichtsarbeit 1
more ... less ...
Language
All
English 1,305 Undetermined 688 German 5 French 5 Spanish 2
Author
All
Shephard, Neil 48 Mumtaz, Haroon 45 McAleer, Michael 44 Koopman, Siem Jan 42 Bos, Charles S. 41 Clark, Todd E. 37 Carriero, Andrea 27 Todorov, Viktor 27 Barndorff-Nielsen, Ole E. 26 Marcellino, Massimiliano 25 Asai, Manabu 23 Huber, Florian 23 Chiarella, Carl 19 Mertens, Elmar 19 Platen, Eckhard 18 Theodoridis, Konstantinos 18 Branger, Nicole 17 Ravazzolo, Francesco 16 Lord, Roger 15 Shin, Minchul 15 Chang, Chia-Lin 14 Tauchen, George 14 Benati, Luca 12 Hautsch, Nikolaus 12 Tauchen, George Eugene 12 Bollerslev, Tim 11 Chan, Joshua 11 Fernández-Villaverde, Jesús 11 Nakajima, Jouchi 11 Peiris, Shelton 11 Guidolin, Massimo 10 Karlsson, Sune 10 Omori, Yasuhiro 10 Aastveit, Knut Are 9 Alòs, Elisa 9 Cross, Jamie 9 Escobar, Marcos 9 Gupta, Rangan 9 Maneesoonthorn, Worapree 9 Martin, Gael M. 9
more ... less ...
Institution
All
School of Economics and Management, University of Aarhus 39 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 29 Tinbergen Instituut 21 Department of Economics, Oxford University 20 Finance Discipline Group, Business School 19 Tinbergen Institute 19 Economics Group, Nuffield College, University of Oxford 17 C.E.P.R. Discussion Papers 16 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 14 Society for Computational Economics - SCE 14 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 14 EconWPA 11 European Central Bank 11 Duke University, Department of Economics 8 Econometric Society 8 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 8 HAL 8 Henley Business School, University of Reading 8 London School of Economics (LSE) 7 School of Economics and Finance, Queen Mary 7 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 7 Bank of England 6 Department of Econometrics and Business Statistics, Monash Business School 6 Department of Economics, University of Pennsylvania 6 University of Bonn, Germany 6 Département de Sciences Économiques, Université de Montréal 5 Institute of Economic Research, Hitotsubashi University 5 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 5 Anderson Graduate School of Management, University of California-Los Angeles (UCLA) 4 Department of Economics and Business, Universitat Pompeu Fabra 4 Erasmus University Rotterdam, Econometric Institute 4 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 4 Institut für Weltwirtschaft (IfW) 4 National Centre for Econometric Research (NCER) 4 Norges Bank 4 Swiss Finance Institute 4 Bank for International Settlements (BIS) 3 Banque de France 3 CESifo 3 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3
more ... less ...
Published in...
All
International journal of theoretical and applied finance 42 Tinbergen Institute Discussion Papers 40 CREATES Research Papers 39 International Journal of Theoretical and Applied Finance (IJTAF) 38 Working Paper 35 Journal of econometrics 32 Discussion paper / Tinbergen Institute 31 MPRA Paper 29 Tinbergen Institute Discussion Paper 27 Quantitative Finance 24 Quantitative finance 23 Finance and Stochastics 22 Applied Mathematical Finance 20 Economics Series Working Papers / Department of Economics, Oxford University 20 Journal of economic dynamics & control 20 CAMA working paper series 18 Physica A: Statistical Mechanics and its Applications 18 Research Paper Series / Finance Discipline Group, Business School 18 ECB Working Paper 17 Economics Papers / Economics Group, Nuffield College, University of Oxford 17 CEPR Discussion Papers 16 The journal of computational finance 15 Applied mathematical finance 14 CIRANO Working Papers 14 Economics letters 14 Energy economics 14 Journal of banking & finance 14 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 14 Review of Derivatives Research 14 SFB 649 Discussion Papers 14 Economic modelling 13 SFB 649 Discussion Paper 13 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 13 The journal of futures markets 13 Insurance / Mathematics & economics 12 The North American journal of economics and finance : a journal of financial economics studies 12 Discussion papers / CEPR 11 Journal of risk and financial management : JRFM 11 Working Paper Series / European Central Bank 11 Working paper series / School of Economics and Finance 11
more ... less ...
Source
All
ECONIS (ZBW) 923 RePEc 871 EconStor 187 BASE 24
Showing 1 - 50 of 2,005
Cover Image
Time-varying dynamics of the German business cycle : a comprehensive investigation
Reif, Magnus - 2021
This paper provides insights into the time-varying dynamics of the German business cycle over the last five decades. To do so, I employ an open-economy time-varying parameter VAR with stochastic volatility, which I estimate by quasi-Bayesian techniques. The reduced-form analysis reveals...
Persistent link: https://ebtypo.dmz1.zbw/10012607593
Saved in:
Cover Image
Empirical deep hedging
Mikkilä, Oskari; Kanniainen, Juho - In: Quantitative finance 23 (2023) 1, pp. 111-122
Persistent link: https://ebtypo.dmz1.zbw/10013490958
Saved in:
Cover Image
Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10013187449
Saved in:
Cover Image
Sectoral Uncertainty
Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...
Persistent link: https://ebtypo.dmz1.zbw/10013470293
Saved in:
Cover Image
Time-varying dynamics of the german business cycle : a comprehensive investigation
Reif, Magnus - In: Oxford bulletin of economics and statistics 84 (2022) 1, pp. 80-102
Persistent link: https://ebtypo.dmz1.zbw/10012818979
Saved in:
Cover Image
Real-time forecast of DSGE models with time-varying volatility in GARCH form
Ivashchenko, Sergey; Ҫekin, Semih Emre; Gupta, Rangan - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012800653
Saved in:
Cover Image
Climate uncertainty and carbon emissions prices : the relative roles of transition and physical climate risks
Ozturk, Serda Selin; Demirer, Rıza; Gupta, Rangan - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012939919
Saved in:
Cover Image
Exchange rate volatility in LATAM: common and idiosyncratic factors
Pérez Forero, Fernando J. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013207557
Saved in:
Cover Image
Can the Heston model forecast energy generation? : a systematic literature review
Reichert, Bianca; Souza, Adriano Mendonça de - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 289-295
Persistent link: https://ebtypo.dmz1.zbw/10013175052
Saved in:
Cover Image
Subjective expectations and uncertainty
Kocięcki, Andrzej; Łyziak, Tomasz; Stanisławska, Ewa - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013188035
Saved in:
Cover Image
Novel techniques for Bayesian inference in univariate and multivariate stochastic volatility models
Tsionas, Efthymios G. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013193282
Saved in:
Cover Image
Subjective expectations and uncertainty
Kocięcki, Andrzej; Łyziak, Tomasz; Stanisławsk, Ewa - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013193414
Saved in:
Cover Image
Pricing options with vanishing stochastic volatility
Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16
In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...
Persistent link: https://ebtypo.dmz1.zbw/10013473177
Saved in:
Cover Image
Sectoral uncertainty
Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013478702
Saved in:
Cover Image
Forecasting oil prices : can large BVARs help?
Bao Hoang Nguyen; Zhang, Bo - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013478800
Saved in:
Cover Image
Sectoral uncertainty
Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...
Persistent link: https://ebtypo.dmz1.zbw/10013419275
Saved in:
Cover Image
Oil shocks and investor attention
Bampinas, Georgios; Panagiōtidēs, Theodōros; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013454556
Saved in:
Cover Image
Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure
Pacifico, Antonio - In: Econometrics : open access journal 10 (2022) 3, pp. 1-24
This paper improves the existing literature on the shrinkage of high dimensional model and parameter spaces through Bayesian priors and Markov Chains algorithms. A hierarchical semiparametric Bayes approach is developed to overtake limits and misspecificity involved in compressed regression...
Persistent link: https://ebtypo.dmz1.zbw/10013459503
Saved in:
Cover Image
Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34
Persistent link: https://ebtypo.dmz1.zbw/10013380525
Saved in:
Cover Image
Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships
Pajor, Anna; Wróblewska, Justyna - In: Eurasian economic review : a journal in applied … 12 (2022) 3, pp. 427-448
Persistent link: https://ebtypo.dmz1.zbw/10013431511
Saved in:
Cover Image
A new Bayesian model for contagion and interdependence
Poon, Aubrey; Zhu, Dan - In: Econometric reviews 41 (2022) 7, pp. 806-826
Persistent link: https://ebtypo.dmz1.zbw/10013364908
Saved in:
Cover Image
Pricing options with vanishing stochastic volatility
Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16
In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...
Persistent link: https://ebtypo.dmz1.zbw/10013368982
Saved in:
Cover Image
Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?
Zarafat, Hashem; Liebhardt, Sascha; Eratalay, Mustafa Hakan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-32
It is well noted in the literature that volatility responds differently to positive and negative shocks. In this paper, we explore the impact of ESG ratings on such asymmetric behavior of volatility. For this analysis, we use the return data, ESG ratings, and solvency ratios of the constituent...
Persistent link: https://ebtypo.dmz1.zbw/10013371062
Saved in:
Cover Image
CBI-time-changed Lévy processes
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013347447
Saved in:
Cover Image
An infinite-dimensional affine stochastic volatility model
Cox, Sonja; Karbach, Sven; Khedher, Asma - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 878-906
Persistent link: https://ebtypo.dmz1.zbw/10013331066
Saved in:
Cover Image
Consistent time-homogeneous modeling of SPX and VIX derivatives
Papanicolaou, Andrew - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 907-940
Persistent link: https://ebtypo.dmz1.zbw/10013331067
Saved in:
Cover Image
Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10013184356
Saved in:
Cover Image
Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility
Gong, Xiao-Li; Lu, Jin-Yan; Xiong, Xiong; Zhang, Wei - In: Financial innovation : FIN 8 (2022), pp. 1-22
Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate dynamic stochastic general equilibrium (DSGE) model...
Persistent link: https://ebtypo.dmz1.zbw/10013272633
Saved in:
Cover Image
Time evolution of external shocks on macroeconomic fluctuations in Pacific Alliance countries: empirical application using TVP-VAR-SV models
Rodriguez, Gabriel; Vassallo, Renato - 2022 - Primera edición
Persistent link: https://ebtypo.dmz1.zbw/10013273028
Saved in:
Cover Image
Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility
Chávez, Paulo; Rodriguez, Gabriel - 2022 - Primera edición
Persistent link: https://ebtypo.dmz1.zbw/10013273077
Saved in:
Cover Image
Evolution of the exchange rate pass-throught into prices in Peru: an empirical application using TVP-VAR-SV models
Calero, Roberto; Rodriguez, Gabriel; Salcedo Cisneros, … - 2022 - Primera edición
Persistent link: https://ebtypo.dmz1.zbw/10013273080
Saved in:
Cover Image
Dynamics and synchronization of global equilibrium interest rates
Beyer, Robert; Milivojevic, Lazar - 2021
With the COVID-19 pandemic, the intense debate about secular stagnation will become even more important. Empirical estimates of equilibrium real interest rates are so far mostly limited to advanced economies, since no statistical procedure suitable for a large set of countries is available. This...
Persistent link: https://ebtypo.dmz1.zbw/10012414815
Saved in:
Cover Image
Rodeo or ascot: Which hat to wear at the crypto race?
Häusler, Konstantin; Härdle, Wolfgang - 2021
This paper sheds light on the dynamics of the cryptocurrency (CC) sector. By modeling its dynamics via a stochastic volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme ups and downs of the CC market and to understand...
Persistent link: https://ebtypo.dmz1.zbw/10012504530
Saved in:
Cover Image
Tracking global economic uncertainty: Implications for the euro area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10012515462
Saved in:
Cover Image
A note on calculating expected shortfall for discrete time stochastic volatility models
Grabchak, Michael; Christou, Eliana - In: Financial Innovation 7 (2021) 1, pp. 1-16
In this paper we consider the problem of estimating expected shortfall (ES) for discrete time stochastic volatility (SV) models. Specifically, we develop Monte Carlo methods to evaluate ES for a variety of commonly used SV models. This includes both models where the innovations are independent...
Persistent link: https://ebtypo.dmz1.zbw/10012602924
Saved in:
Cover Image
Financial instability and economic activity
Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021
We estimate new indices measuring financial and economic (in)stability in Austria and in the euro area. Instead of estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in)stability, where our methodological approach is based on the...
Persistent link: https://ebtypo.dmz1.zbw/10012795748
Saved in:
Cover Image
Quadrinomial trees with stochastic volatility to value real options
Marín-Sánchez, Freddy H.; Pareja-Vasseur, Julián A.; … - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 282-299
Purpose - The purpose of this article is to propose a detailed methodology to estimate, model and incorporate the non-constant volatility onto a numerical tree scheme, to evaluate a real option, using a quadrinomial multiplicative recombination. Design/methodology/approach - This article uses...
Persistent link: https://ebtypo.dmz1.zbw/10013192207
Saved in:
Cover Image
Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Feng, Yu; Rudd, Ralph; Baker, Christopher; Mashalaba, … - In: Risks 9 (2021) 1, pp. 1-20
We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model assumptions). In this context, we use...
Persistent link: https://ebtypo.dmz1.zbw/10013200683
Saved in:
Cover Image
Parameter learning and change detection using a particle filter with accelerated adaptation
Gellert, Karol; Schlögl, Erik - In: Risks 9 (2021) 12, pp. 1-18
This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where...
Persistent link: https://ebtypo.dmz1.zbw/10013200890
Saved in:
Cover Image
A Bayesian semiparametric realized stochastic volatility model
Liu, Jia - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-22
This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...
Persistent link: https://ebtypo.dmz1.zbw/10013201300
Saved in:
Cover Image
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-18
This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...
Persistent link: https://ebtypo.dmz1.zbw/10012611634
Saved in:
Cover Image
Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors
Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-29
Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...
Persistent link: https://ebtypo.dmz1.zbw/10012611702
Saved in:
Cover Image
How much do negative probabilities matter in option pricing? A case of a lattice-based approach for stochastic volatility models
Tseng, Chung-Li; Miao, Daniel Wei-Chung; Chung, San-Lin; … - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-32
In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...
Persistent link: https://ebtypo.dmz1.zbw/10012611798
Saved in:
Cover Image
Vector autoregression models with skewness and heavy tails
Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021
With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy tailed. In this paper, we contribute to the...
Persistent link: https://ebtypo.dmz1.zbw/10012654478
Saved in:
Cover Image
Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021
In this paper we analyze how skewness and heavy tails a ect the estimated relationship between the real economy and the corporate bond-yield spread, a popular predictor of real activity. We use quarterly US data to estimate Bayesian VAR models with stochastic volatility and various...
Persistent link: https://ebtypo.dmz1.zbw/10012654479
Saved in:
Cover Image
Time-Varying Dynamics of the German Business Cycle: A Comprehensive Investigation
Reif, Magnus - 2021
This paper provides insights into the time-varying dynamics of the German business cycle over the last five decades. To do so, I employ an open-economy time-varying parameter VAR with stochastic volatility, which I estimate by quasi-Bayesian techniques. The reduced-form analysis reveals...
Persistent link: https://ebtypo.dmz1.zbw/10012657977
Saved in:
Cover Image
UK inflation forecasts since the Thirteenth Century
Nason, James Michael; Smith, Gregor W. - 2021
Historians have suggested there were waves of inflation or price revolutions in the UK (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1914. We study retail price inflation since 1251 and model its forecasts. The model is an AR(n) but allows for...
Persistent link: https://ebtypo.dmz1.zbw/10012670890
Saved in:
Cover Image
Parameter learning and change detection using a particle filter with accelerated adaptation
Gellert, Karol; Schlögl, Erik - In: Risks : open access journal 9 (2021) 12, pp. 1-18
This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where...
Persistent link: https://ebtypo.dmz1.zbw/10012794245
Saved in:
Cover Image
A Bayesian semiparametric realized stochastic volatility model
Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22
This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...
Persistent link: https://ebtypo.dmz1.zbw/10012800257
Saved in:
Cover Image
UK inflation forecasts since the thirteenth century
Nason, James Michael; Smith, Gregor W. - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012585992
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...