Long memory with stochastic variance model: a recursive analysis for US inflation
From MaRDI portal
Publication:1623516
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
importance samplingstochastic volatilityMonte Carlo simulationfractional integrationtime varying parameters
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)
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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
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