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The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling

Chan, Joshua - 2015

Persistent link: https://www.econbiz.de/10011342445

The stochastic volatility in mean model with time-varying parameters : an application to inflation modeling

Chan, Joshua - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 17-28

Persistent link: https://www.econbiz.de/10011704092

Pitfalls of estimating the marginal likelihood using the modified harmonic mean

Chan, Joshua; Grant, Angelia L. - In: Economics letters 131 (2015), pp. 29-33

Persistent link: https://www.econbiz.de/10011422529

Pitfalls of estimating the marginal likelihood using the modified harmonic mean

Chan, Joshua; Grant, Angelia L. - 2015

Persistent link: https://www.econbiz.de/10011342444

Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts

Zhang, Bo; Chan, Joshua; Cross, Jamie - In: International journal of forecasting 36 (2020) 4, pp. 1318-1328

Persistent link: https://www.econbiz.de/10012546706

Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts

Zhang, Bo; Chan, Joshua; Cross, Jamie L. - 2018

Persistent link: https://www.econbiz.de/10012202537

Moving average stochastic volatility models with application to inflation forecast

Chan, Joshua C. C. - 2013

Persistent link: https://www.econbiz.de/10009750019

Moving average stochastic volatility models with application to inflation forecast

Chan, Joshua C. C. - In: Journal of econometrics 176 (2013) 2, pp. 162-172

Persistent link: https://www.econbiz.de/10009786503

Moving average stochastic volatility models with application to inflation forecast

Chan, Joshua C. C. - 2012

Persistent link: https://www.econbiz.de/10009655700

Stochastic Volatility Models with ARMA Innovations : An Application to G7 Inflation Forecasts

Zhang, Bo - 2018

We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial...

Persistent link: https://www.econbiz.de/10012915821