Discrete-response state space models with conditional heteroscedasticity : an application to forecasting the federal funds rate target
Stefanos Dimitrakopoulos, Dipak K. Dey
| Year of publication: |
May 2017
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| Authors: | Dimitrakopoulos, Stefanos ; Dey, Dipak |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 154.2017, p. 20-23
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| Subject: | Conditional heteroscedasticity | Markov chain Monte Carlo | Discrete responses | State-space model | Zustandsraummodell | State space model | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Schätztheorie | Estimation theory | Geldmarkt | Money market |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2017.02.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011810690