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Computing DSGE models with recursive preferences and stochastic volatility

Caldara, Dario; Fernández-Villaverde, Jesús; … - 2012

Persistent link: https://www.econbiz.de/10009505593

Symposium on stochastic volatility : an introductory overview

Viens, Frederi G. - In: Annals of finance 8 (2012) 2/3, pp. 151-157

Persistent link: https://www.econbiz.de/10009548135

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012

Persistent link: https://www.econbiz.de/10009524097

Stochastic intrinsic kriging for simulation metamodelling

Mehdad, Ehsan; Kleijnen, Jack P. C. - 2014

Persistent link: https://www.econbiz.de/10011283893

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822