affected by the cyclical component of unemployment. In addition we use shifts in the relative volatility of shocks to …-space estimation ; identification through heteroskedasticity ; trend inflation …

affected by the cyclical component of unemployment. In addition we use shifts in the relative volatility of shocks to …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory … volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an … problem of online estimation of current values of w = w(T) and a = a(T) from the observations SI , ... ,ST. We propose an … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …