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accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10011346480
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10014062862
Persistent link: https://www.econbiz.de/10000953379
Persistent link: https://www.econbiz.de/10001718624
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volatility process. The dependence between daily returns and realised measurement errors leads us to develop a two … when the stochastic volatility model has non-Gaussian return innovations and leverage effects. Our extensive empirical …
Persistent link: https://www.econbiz.de/10014177448
This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock … (CBOE) implied (or expected) volatility index (VIX). Intraday high-frequency observations data have become readily available …
Persistent link: https://www.econbiz.de/10014186411
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model based on … returns and volatility. The new model is estimated by the efficient importance sampling method of Liesenfeld and Richard (2003 …
Persistent link: https://www.econbiz.de/10014204500