The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level … increase after a positive shock to core inflation uncertainty in a vector autoregression. Endogenous changes in household … inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates …

The asymmetric stochastic volatility (ASV) models extend the stochastic volatility model (SV) by modeling the … correlation between the asset return and its volatility. We prove by simulation studies that fitting the ASV models may infer … erroneous estimations of the correlation coefficients. Even if the true return-volatility correlation structure is different …

We investigate the effect of inflation uncertainty on inflation from January 1982 through March 2016 for Turkey by … using the Stochastic Volatility in Mean model with time-varying parameters. Our empirical evidence from consumer price index … (CPI) inflation suggests that the observed positive relationship between inflation and inflation uncertainty is not robust …

time diffusion models ; models with jumps ; stochastic volatility ; GARCH …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

This paper proposes a parsimonious threshold stochastic volatility (SV) model for financial asset returns. Instead of … imposing a threshold value on the dynamics of the latent volatility process of the SV model, we assume that the innovation of … time-varying volatility of returns, but also can accommodate the asymmetric shape of conditional distribution of the …