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Stochastic volatility in interest rates and complex dynamics in velocity
Barnett, William A.; Xu, Haiyang - In: Commerce, complexity, and evolution : topics in …, (pp. 147-171). 2000
Persistent link: https://www.econbiz.de/10001556430
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Stochastic volatility in interest rates and nonlinearity in velocity
Barnett, William A.; Xu, Haiyang - In: The theory of monetary aggregation, (pp. 274-295). 2000
Persistent link: https://www.econbiz.de/10001508715
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Money velocity with interest rate stochastic volatility and exact aggregation
Barnett, William A.; Xu, Haiyang - 2012
Persistent link: https://www.econbiz.de/10009732504
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …
Persistent link: https://www.econbiz.de/10011373822
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10011327834
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The analysis of stochastic volatility in the presence of daily realised measures
Koopman, Siem Jan; Scharth, Marcel - 2011
Persistent link: https://www.econbiz.de/10010191086
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …
Persistent link: https://www.econbiz.de/10011809984
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Hawkes-based models for high frequency financial data
Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185
Persistent link: https://www.econbiz.de/10013532430
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Money velocity with interest rate stochastic volatility and exact aggregation
Barnett, William A.; Xu, Haiyang - 1995
Persistent link: https://www.econbiz.de/10000933224
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The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - 2015
Persistent link: https://www.econbiz.de/10011305234