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In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
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Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight into … the question by drawing lessons from the literature. The definition of "economic theory" includes a broad range of … examples of theory-based forecasting that have not proven useful, such as theory-driven variable selection and some popular …
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