Conditional volatility models, such as GARCH, have been used extensively in financial applications to capture … using symmetric volatility models). In general direct approaches to modelling the semi-variance are preferred to …

The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U ….S. economy in the early 1980's. We decompose the volatility decline using a dynamic factor framework into a common stochastic …

What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory …. Economic models, in fact, typically struggle to imply levels of persistence comparable to those observed in the data. Most of … the persistence is therefore introduced by highly autocorrelated exogenous stochastic shocks. Other solutions consist of …

An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised … autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small …

volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far …

in volatility of the US auto sales after the introduction of smaller foreign cars in the 1970s …