We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six … strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend …

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 …