Similar Search Results

Particle Markov chain Monte Carlo techniques of unobserved component time series models using ox

Nonejad, Nima - In: Journal of time series econometrics 8 (2016) 1, pp. 55-90

Persistent link: https://www.econbiz.de/10011440481

The Great Recession in the Non-EMU Visegrád countries : a nonlinear DSGE model with time-varying parameters

Tvrz, Stanislav; Vašíček, Osvald - In: Finance a úvěr 66 (2016) 3, pp. 207-235

Persistent link: https://www.econbiz.de/10011532664

Estimation of state changes in system descriptions for dynamic Bayesian networks by using a genetic procedure and particle filters

Lu, Jianjun; Tokinaga, Shozo - In: Economic modelling 39 (2014), pp. 138-145

Persistent link: https://www.econbiz.de/10010419966

Estimation of state-space models with endogenous Markov regime-switching parameters

Kang, Kyu Ho - In: The econometrics journal 17 (2014) 1, pp. 56-82

Persistent link: https://www.econbiz.de/10010498759

Time-varying inflation targeting after the nineties

Lafuente, Juan Angel; Pérez, Rafaela; Ruiz, Jesús - In: International review of economics & finance : IREF 29 (2014), pp. 400-408

Persistent link: https://www.econbiz.de/10010432341

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

Persistent link: https://www.econbiz.de/10011410916