Narrow search
Showing 1 - 10 of 37,589
Cover Image
Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
Cover Image
Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?
Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001
This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...
Persistent link: https://www.econbiz.de/10011473872
Cover Image
Towards resolving the exchange rate volatility puzzle
Gaab, Werner; Kempa, Bernd - In: Integration, Währung und Wachstum - Dimensionen …, (pp. 229-242). 2002
Persistent link: https://www.econbiz.de/10001709170
Cover Image
Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999 - 2000
Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001
Persistent link: https://www.econbiz.de/10001584428
Cover Image
Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …
Persistent link: https://www.econbiz.de/10011334849
Cover Image
A Bayesian semiparametric analysis of ARCH models
Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000
Persistent link: https://www.econbiz.de/10001497195
Cover Image
Stochastic volatility estimation using Markov chain simulation
Hautsch, Nikolaus; Ou, Yangguoyi - In: Applied quantitative finance, (pp. 249-274). 2009
Persistent link: https://www.econbiz.de/10003746411
Cover Image
Model averaging in Markov-switching models : predicting national recessions with regional data
Guérin, Pierre; Leiva-Leon, Danilo - 2017
Persistent link: https://www.econbiz.de/10011791491
Cover Image
Model averaging in Markov-switching models : predicting national recessions with regional data
Guérin, Pierre; Leiva-Leon, Danilo - In: Economics letters 157 (2017), pp. 45-49
Persistent link: https://www.econbiz.de/10011847300
Cover Image
The empirical analysis of exchange rate regimes and nonlinear econometrics
Winschel, Viktor - 2005
Persistent link: https://www.econbiz.de/10003300833