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An integral representation of elasticity and sensitivity for stochastic volatility models
Cui, Zhenyu; Nguyen, Duy; Park, Hyungbin - In: Mathematics and financial economics 12 (2018) 2, pp. 249-274
Persistent link: https://www.econbiz.de/10011963852
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Impacts of stockholding behaviour on agricultural market volatility : a dynamic computable general equilibrium approach
Femenia, Fabienne - In: German journal of agricultural economics : GJAE 59 (2010) 3, pp. 187-201
Persistent link: https://www.econbiz.de/10009374770
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Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper
Herwartz, Helmut; Plödt, Martin - 2014
Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...
Persistent link: https://www.econbiz.de/10010482469
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Cross-sector comovements and policy impact in the COVID-19 stock market : a dynamic factor approach
Yang, Joy D. Xiuyao - In: Global finance journal 56 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014478952
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Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Pospíšil, Jan; Sobotka, Tomáš; Ziegler, Philipp - In: Empirical economics : a journal of the Institute for … 57 (2019) 6, pp. 1935-1958
Persistent link: https://www.econbiz.de/10012215941
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Price discovery in bitcoin spot or futures during the Covid-19 pandemic? : Evidence from the time-varying parameter vector autoregressive model with stochastic volatility
Mohamad, Azhar; Inani, Sarveshwar Kumar - In: Applied economics letters 30 (2023) 19, pp. 2749-2757
Persistent link: https://www.econbiz.de/10014368575
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …
Persistent link: https://www.econbiz.de/10011809984
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Aggregation of short-memory processes, the volatility of stock market return indices and long
Barnes, Michelle L. - 1998
Persistent link: https://www.econbiz.de/10000995175
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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121
Persistent link: https://www.econbiz.de/10001387229