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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10011334849
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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
Persistent link: https://www.econbiz.de/10001906792
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The stochastic volatility on mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
Persistent link: https://www.econbiz.de/10001472890
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Volatility clustering in stock returns at low frequencies
Jacobsen, Ben; Dannenburg, Dennis Ramon - 1995
Persistent link: https://www.econbiz.de/10000918266
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Multivariate stochastic volatility
Daníelsson, Jón - 1995
Persistent link: https://www.econbiz.de/10000913125
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Interaction between supply and demand shocks in production and employment
Butter, F. A. G. den; Koopman, S. J. - 1997
Persistent link: https://www.econbiz.de/10000675026
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Structural aspects of the labor market of five OECD countries
Ridder, Geert; Visser, Niels de; Berg, Gerard J. van den - 1997
Persistent link: https://www.econbiz.de/10000952497
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Interaction between supply and demand shocks in production and employment
Butter, Frank A. G. den; Koopman, Siem Jan - 1997
Persistent link: https://www.econbiz.de/10000961559
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Unobserved heterogeneity and risk in wage variance: does schooling provide earnings insurance?
Mazza, Jacopo; Ophem, Hans van; Hartog, Joop - 2011
Persistent link: https://www.econbiz.de/10008907830
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Employment choices and pay differences between non-standard and standard work in Britain, Germany, Netherlands and Sweden
Gustafsson, Siv S.; Kenjoh, Eiko; Wetzels, Cécile M. M. P. - 2001
, GSOEP for Germany, OSA for the Netherlands and HUS for Sweden.The reason for analysing and comparing four countries is an … the other three countries. In Germany, fixed-termworkers are conspicuously badly paid compared to fixed-term workers in … in Britain and Germany. …
Persistent link: https://www.econbiz.de/10011317442