An extension of stochastic volatility model with mixed frequency information
Year of publication: |
June 2017
|
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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
|
Subject: | Stochastic volatility | Mixed-frequency | Monte Carlo experiment | MCMC method | Unobservable component | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model |
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