Moving average stochastic volatility models with application to inflation forecast
From MaRDI portal
Recommendations
- Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
- A generalised stochastic volatility in mean VAR
- Has the volatility of U.S. inflation changed and how?
- Bayesian Vector Autoregressions with Stochastic Volatility
- Bayesian analysis of stochastic volatility models
Cites work
- Analysis of high dimensional multivariate stochastic volatility models
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian multivariate time series methods for empirical macroeconomics
- Bayesian semiparametric stochastic volatility modeling
- Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
- Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA
- Efficient simulation and integrated likelihood estimation in state space models
- Estimation and Forecasting in Models with Multiple Breaks
- Forecasting inflation using dynamic model averaging
- Generalized autoregressive conditional heteroscedasticity
- Handbook of Monte Carlo Methods
- scientific article; zbMATH DE number 3892457 (Why is no real title available?)
- Markov chain Monte Carlo methods for stochastic volatility models.
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
- Simulation smoothing for state-space models: a computational efficiency analysis
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Time Varying Structural Vector Autoregressions and Monetary Policy
Cited in
(20)- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
- A Bayesian robust chi-squared test for testing simple hypotheses
- Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
- Speculative bubbles in present-value models: a Bayesian Markov-switching state space approach
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Causal relationships between inflation and inflation uncertainty
- Large Bayesian VARMAs
- Functional coefficient moving average model with applications to forecasting Chinese CPI
- Pitfalls of estimating the marginal likelihood using the modified harmonic mean
- Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling
- Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
- Specification tests for time-varying parameter models with stochastic volatility
- Asymmetric conjugate priors for large Bayesian VARs
- Forecasting emergency department waiting time using a state space representation
- High-dimensional conditionally Gaussian state space models with missing data
- The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
- Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
- Multivariate stochastic volatility with co-heteroscedasticity
- Shrinkage and noniterative estimation for moving average models with structural breaks
This page was built for publication: Moving average stochastic volatility models with application to inflation forecast
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2442456)
