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ArticleMoving average stochastic volatility models with application to inflation forecast

Joshua C. C. Chan2013

Article2013

Moving average stochastic volatility models with application to inflation forecast

Joshua C. C. Chan

144 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Forecasting Techniques and Applications

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References

1986Generalized autoregressive conditional heteroskedasticity 2005Time Varying Structural Vector Autoregressions and Monetary Policy 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US 2007Why Has U.S. Inflation Become Harder to Forecast?1985Trends and Cycles in Macroeconomic Time Series 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY 2010Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

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2019Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models 2017A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output 2016Forecasting structural change and fat-tailed events in Australian macroeconomic variables 2022Asymmetric conjugate priors for large Bayesian VARs 2016Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump

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Year2013

Typearticle

Published2013-05-30

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations144

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2013.05.003

openalex_workW2269698385

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2019

Large Bayesian Vector Autoregressions

2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME‐SERIES ECONOMETRICS

2016Specification tests for time-varying parameter models with stochastic volatility