Moving average stochastic volatility models with application to inflation forecast
From MaRDI portal
Publication:2442456
DOI10.1016/j.jeconom.2013.05.003zbMath1284.91423MaRDI QIDQ2442456
Publication date: 3 April 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cama.crawford.anu.edu.au/publication/2060/moving-average-stochastic-volatility-models-application-inflation-forecast
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B70: Stochastic models in economics
91G80: Financial applications of other theories
Related Items
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, Large Bayesian VARMAs, Pitfalls of estimating the marginal likelihood using the modified harmonic mean, Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling, 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
Uses Software
Cites Work
- Unnamed Item
- Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
- Analysis of high dimensional multivariate stochastic volatility models
- Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Simulation smoothing for state-space models: a computational efficiency analysis
- Bayesian semiparametric stochastic volatility modeling
- On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Generalized autoregressive conditional heteroscedasticity
- Markov chain Monte Carlo methods for stochastic volatility models.
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
- Efficient simulation and integrated likelihood estimation in state space models
- Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
- Handbook of Monte Carlo Methods
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
- Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Estimation and Forecasting in Models with Multiple Breaks
