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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10010265243
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A conditionally heteroskedastic global inflation model
Morales-Arias, Leonardo; Moura, Guilherme V. - 2010
This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country-specific components. The model is estimated in one-step via Quasi-Maximum Likelihood for the G7 countries for the period Q1-1960 to Q4-2009. It is found that various model specifications...
Persistent link: https://www.econbiz.de/10010272102