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This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …
Persistent link: https://www.econbiz.de/10012807854
Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …
Persistent link: https://www.econbiz.de/10012250452
The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …
Persistent link: https://www.econbiz.de/10014436184
volatility. Hence, they are viable alternatives to the geometric Brownian motion. …
Persistent link: https://www.econbiz.de/10013428466
constrained estimation produces a quantitative model with both reasonable asset-pricing as well as business-cycle implications. …
Persistent link: https://www.econbiz.de/10010192763
Persistent link: https://www.econbiz.de/10000889671
stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …
Persistent link: https://www.econbiz.de/10013428399
Persistent link: https://www.econbiz.de/10012601651
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...
Persistent link: https://www.econbiz.de/10011903709
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