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Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

specifications including a GARCH specification for the conditional variance of volatility. …

Persistent link: https://www.econbiz.de/10010851215

Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

The restrictions implied by the theory of time-consistent monetary policy are imposed on empirical data. Model estimation is conducted using Bayesian Markov chain Monte Carlo techniques. We are able to identify two major regimes regarding the policy of the Federal Reserve from 1970 to 2008....

Persistent link: https://www.econbiz.de/10010851240

Forecasting with the Standardized Self-Perturbed Kalman Filter

Grassi, Stefano; Nonejad, Nima; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2014

realized volatility series with a time-varying parameters HAR model with exogenous variables. …

Persistent link: https://www.econbiz.de/10010851262

A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is …

Persistent link: https://www.econbiz.de/10010851263

Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

instance estimate stochastic volatility models with leverage effect or with Student-t distributed errors. We also model … heteroskedasticity is specified by means of a Gaussian stochastic volatility process. …

Persistent link: https://www.econbiz.de/10010851295