Moving average stochastic volatility models with application to inflation forecast
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|
|Source:||Journal of Econometrics|
|01_Chan_Moving_average_stochastic_2013.pdf||564.61 kB||Adobe PDF||Request a copy|
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