An extension of stochastic volatility model with mixed frequency information
Yuhuang Shanga, Lulu Liu
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Shang, Yuhuang ; Liu, Lulu |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 155.2017, p. 144-148
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| Subject: | Stochastic volatility | Mixed-frequency | Monte Carlo experiment | MCMC method | Unobservable component | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2017.04.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011821634