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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - 2013

Persistent link: https://www.econbiz.de/10009724167

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Marcellino, Massimiliano Giuseppe - 2014

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …

Persistent link: https://www.econbiz.de/10013064512

From bond yield to macroeconomic instability : a parsimonious affine model

Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135

Persistent link: https://www.econbiz.de/10011802489

A Euro Area Term Structure Model with Time Varying Exposures

Tornese, Tommaso - 2023

for stochastic volatility both at the regional and country specific level. Despite the share of national variance …

Persistent link: https://www.econbiz.de/10014356030

Have the GIPSI settled down? : breaks and multivariate stochastic volatility models for, and not against, the European financial integration

Ge̜bka, Bartosz; Karoglou, Michail - In: Journal of banking & finance 37 (2013) 9, pp. 3639-3653

Persistent link: https://www.econbiz.de/10010126309

A range-based multivariate stochastic volatility model for exchange rates

Tims, Ben; Mahieu, Ronald J. - In: Econometric reviews 25 (2006) 2/3, pp. 409-424

Persistent link: https://www.econbiz.de/10003355802

Estimation of asymmetric stochastic volatility models for stock-exchange index returns

Del Carmen García Centeno, María; Minguez Salido, Román - In: International advances in economic research : IAER ; an … 15 (2009) 1, pp. 71-87

Persistent link: https://www.econbiz.de/10003813391

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area

Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014

model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …

Persistent link: https://www.econbiz.de/10010362975

Modeling the relationship between European carbon permits and certified emission reductions

Koop, Gary; Tole, Lise - In: Journal of empirical finance 24 (2013), pp. 166-181

Persistent link: https://www.econbiz.de/10010371982

A range-based multivariate model for exchange rate volatility

Tims, Ben (contributor); Mahieu, Ronald J. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001765941

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