Skip navigation
Skip navigation

Moving average stochastic volatility models with application to inflation forecast

Request a Copy

link to publisher version

  • Altmetric Citations

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

dc.contributor.authorChan, Chi Chun (Joshua)
dc.date.accessioned2015-12-13T22:29:17Z
dc.identifier.issn0304-4076
dc.identifier.urihttp://hdl.handle.net/1885/74628
dc.description.abstractWe 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
dc.publisherElsevier
dc.sourceJournal of Econometrics
dc.subjectKeywords: Density forecast; Measurement equations; Out-of-sample forecast; Precision; Sparse; State space representation; Stochastic Volatility Model; Unobserved components; Forecasting; Measurement errors; State space methods; Economic analysis Density forecast; Precision; Sparse; State space; Unobserved components model
dc.titleMoving average stochastic volatility models with application to inflation forecast
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume176
dc.date.issued2013
local.identifier.absfor140303 - Economic Models and Forecasting
local.identifier.ariespublicationf5625xPUB4214
local.type.statusPublished Version
local.contributor.affiliationChan, Chi Chun (Joshua), College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue2
local.bibliographicCitation.startpage162
local.bibliographicCitation.lastpage172
local.identifier.doi10.1016/j.jeconom.2013.05.003
local.identifier.absseo910108 - Monetary Policy
dc.date.updated2016-02-24T09:22:55Z
local.identifier.scopusID2-s2.0-84880330613
local.identifier.thomsonID000327579100005
CollectionsANU Research Publications

Download

File Description SizeFormat Image
01_Chan_Moving_average_stochastic_2013.pdf564.61 kBAdobe PDF    Request a copy
Show simple item record


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator