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A generalised stochastic volatility in mean VAR : an updated algorithm
Mumtaz, Haroon - 2020
In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …
Persistent link: https://www.econbiz.de/10012243290
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A generalised stochastic volatility in mean VAR
Mumtaz, Haroon - 2018
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …
Persistent link: https://www.econbiz.de/10011812167
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Macroeconomic forecasting with large stochastic volatility in mean VARs
Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - 2021
Persistent link: https://www.econbiz.de/10012628432
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Measuring international uncertainty using global vector autoregressions with drifting parameters
Pfarrhofer, Michael - 2019
vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …
Persistent link: https://www.econbiz.de/10012052678
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International transmissions of aggregate macroeconomic uncertainty in small open economies : an empirical approach
Cross, Jamie L.; Hou, Chenghan; Poon, Aubrey - 2018
Persistent link: https://www.econbiz.de/10012202181
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Large stochastic volatility in mean VARs
Cross, Jamie; Hou, Chenghan; Koop, Gary; Poon, Aubrey - In: Journal of econometrics 236 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Stochastic volatility in mean : empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
Abanto-Valle, Carlos A.; Rodriguez, Gabriel; … - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 272-286
Persistent link: https://www.econbiz.de/10012655392
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Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - 2021 - Primera edición
Persistent link: https://www.econbiz.de/10013170523
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Stochastic volatility in mean : empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.; Rodriguez, Gabriel; … - 2020
Persistent link: https://www.econbiz.de/10012435606