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Moving average stochastic volatility models with application to inflation forecast

Chan, Chi Chun (Joshua)

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

CollectionsANU 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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