Moving average stochastic volatility models with application to inflation forecast
Date
2013
Authors
Chan, Chi Chun (Joshua)
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Publisher
Elsevier
Abstract
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
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Keywords: 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
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Source
Journal of Econometrics
Type
Journal article
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2037-12-31
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