subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has …

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 … account for all the heteroskedasticity present in the data. The empirical results are based on a Bayesian analysis and show …