Long memory with stochastic variance model: a recursive analysis for US inflation

DOI10.1016/J.CSDA.2012.11.019zbMath1506.62025OpenAlexW2041422849MaRDI QIDQ1623516

Siem Jan Koopman, Marius Ooms, Charles S. Bos

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.11.019

zbMATH Keywords

importance samplingstochastic volatilityMonte Carlo simulationfractional integrationtime varying parameters

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (8)

Estimation and forecasting of long memory stochastic volatility models ⋮ Long memory affine term structure models ⋮ Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox ⋮ Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks ⋮ Using the hybrid Phillips curve with memory to forecast US inflation ⋮ Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications ⋮ A simple test on structural change in long-memory time series ⋮ Estimation methods for stationary Gegenbauer processes

Uses Software

• Ox
• SsfPack
• bvarsv

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Renewal regime switching and stable limit laws
• A periodic Levinson-Durbin algorithm for entropy maximization
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Moving estimates test with time varying bandwidth
• Estimation of fractional integration in the presence of data noise
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• The detection and estimation of long memory in stochastic volatility
• State space modeling of long-memory processes
• Generalized autoregressive conditional heteroscedasticity
• Long memory processes and fractional integration in econometrics
• Exact maximum likelihood estimation for non-stationary periodic time series models
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
• The Fitting of Time-Series Models
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
• Fractional differencing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• On a measure of lack of fit in time series models
• Multivariate Stochastic Variance Models
• Likelihood analysis of non-Gaussian measurement time series
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• A simple and efficient simulation smoother for state space time series analysis
• Statistical algorithms for models in state space using SsfPack 2.2
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• ESTIMATION OF PARAMETERS IN ARFIMA PROCESSES: A SIMULATION STUDY
• Relative-Price Changes as Aggregate Supply Shocks
• Evaluation of likelihood functions for Gaussian signals
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
• Modelling financial time series with SEMIFAR GARCH model
• Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Local polynomial estimation with a FARIMA-GARCH error process
• Long memory and regime switching

This page was built for publication: Long memory with stochastic variance model: a recursive analysis for US inflation