Moving average stochastic volatility models with application to inflation forecast
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Description
We introduce a new class of models that has both stochastic volatility and moving average errors, where the conditional mean has a state space representation. Having a moving average component, however, means that the errors in the measurement equation ar
| Collections | ANU Research Publications |
|---|---|
| Date published: | 2013 |
| Type: | Journal article |
| URI: | http://hdl.handle.net/1885/74628 |
| Source: | Journal of Econometrics |
| DOI: | 10.1016/j.jeconom.2013.05.003 |
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| File | Description | Size | Format | Image |
|---|---|---|---|---|
| 01_Chan_Moving_average_stochastic_2013.pdf | 564.61 kB | Adobe PDF | Request a copy |
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