Showing 1 - 10 of 5,426
Persistent link: https://www.econbiz.de/10003778206
In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …
Persistent link: https://www.econbiz.de/10013070384
metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …
Persistent link: https://www.econbiz.de/10012038566
Persistent link: https://www.econbiz.de/10011964571
volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …
Persistent link: https://www.econbiz.de/10011554403
Persistent link: https://www.econbiz.de/10012616956
Persistent link: https://www.econbiz.de/10012499092
According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...
Persistent link: https://www.econbiz.de/10011584095
vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …
Persistent link: https://www.econbiz.de/10012052678
Persistent link: https://www.econbiz.de/10011966119