Abbara, Omar; Zevallos, Mauricio - In: Econometrics : open access journal 11 (2023) 1, pp. 1-18
In this paper, we propose a new method for estimating and forecasting asymmetric stochastic volatility models. The proposal is based on dynamic linear models with Markov switching written as state space models. Then, the likelihood is calculated through Kalman filter outputs and the estimates...