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Moving average stochastic volatility models with application to inflation forecast
16 references·16 citing·42 second hopsampled
Moving average stochastic volatility models with application to inflation forecast (2013)Moving average stochastic volatility mode…FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING* (2012)FORECASTING INFLATION USING D…Modeling Inflation After the Crisis (2010)Modeling Inflation After the …Bayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010)Bayesian Multivariate Time Se…Inflation-Gap Persistence in the US (2009)Inflation-Gap Persistence in …Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve (2008)Trend Inflation, Indexation, …Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…Estimation and Forecasting in Models with Multiple Breaks (2007)Estimation and Forecasting in…Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Analysis of high dimensional multivariate stochastic volatility models (2005)Analysis of high dimensional …Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Trends and Cycles in Macroeconomic Time Series (1985)Trends and Cycles in Macroeco…Design of moving average chart and auxiliary information based chart using extended EWMA (2023)Design of moving average char…Asymmetric conjugate priors for large Bayesian VARs (2022)Asymmetric conjugate priors f…A Unified Framework to Estimate Macroeconomic Stars (2022)A Unified Framework to Estima…The Time-Varying Evolution of Inflation Risks (2021)The Time-Varying Evolution of…AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME‐SERIES ECONOMETRICS (2021)AN OVERVIEW OF DYNAMIC MODEL …Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts (2020)Stochastic volatility models …Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models (2019)Modelling the dynamics of Bit…Large Bayesian Vector Autoregressions (2019)Large Bayesian Vector Autoreg…Forecasting Inflation Uncertainty in the United States and Euro Area (2018)Forecasting Inflation Uncerta…Effectiveness of monetary and macroprudential shocks on consumer credit growth and volatility in Turkey (2018)Effectiveness of monetary and…A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output (2017)A Bayesian Model Comparison f…Specification tests for time-varying parameter models with stochastic volatility (2016)Specification tests for time-…Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump (2016)Inside the Crystal Ball: New …Forecasting structural change and fat-tailed events in Australian macroeconomic variables (2016)Forecasting structural change…Modelling Inflation Volatility (2015)Modelling Inflation VolatilityEstimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence (2013)Estimation of Stochastic Vola…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Turbulent cascades in foreign exchange markets (1996)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)The detection and estimation of long memory in stochastic volatility (1998)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Testing for Indeterminacy: An Application to U.S. Monetary Policy: Comment (2007)Forecasting Inflation (2013)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Parametric and Nonparametric Volatility Measurement (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Sources of Business Cycle Fluctuations (1988)Variable Trends in Economic Time Series (1988)Common Stochastic Trends in a System of Exchange Rates (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Has the Business Cycle Changed and Why? 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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 1985Trends and Cycles in Macroeconomic Time Series688 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 2010Bayesian Multivariate Time Series Methods for Empirical Macroeconomics644 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited
  • 2008Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve562 cited
  • 2009Inflation-Gap Persistence in the US544 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2012FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*393 cited
  • 2005Analysis of high dimensional multivariate stochastic volatility models345 cited
  • 2010Modeling Inflation After the Crisis

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265 cited
  • 2007Estimation and Forecasting in Models with Multiple Breaks220 cited
  • Cited by

    • 2019Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models70 cited
    • 2017A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output60 cited
    • 2016Forecasting structural change and fat-tailed events in Australian macroeconomic variables48 cited
    • 2022Asymmetric conjugate priors for large Bayesian VARs46 cited
    • 2016Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump39 cited
    • 2019Large Bayesian Vector Autoregressions37 cited
    • 2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME‐SERIES ECONOMETRICS36 cited
    • 2016Specification tests for time-varying parameter models with stochastic volatility34 cited
    • 2020Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts32 cited
    • 2013Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence28 cited
    • 2021The Time-Varying Evolution of Inflation Risks26 cited
    • 2015Modelling Inflation Volatility21 cited
    • 2018Effectiveness of monetary and macroprudential shocks on consumer credit growth and volatility in Turkey18 cited
    • 2022A Unified Framework to Estimate Macroeconomic Stars15 cited
    • 2023Design of moving average chart and auxiliary information based chart using extended EWMA13 cited
    • 2018Forecasting Inflation Uncertainty in the United States and Euro Area13 cited