This paper develops a new method for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is dicult to evaluate the exact likelihood. In this paper, a non-linear ยฎlter which yields the exact likelihood of SV models is employed. Solving a series of
A GOODWINIAN MODEL WITH DIRECT AND ROUNDABOUT RETURNS TO SCALE (AN APPLICATION TO ITALY)
โ Scribed by Alexander V. Ryzhenkov
- Book ID
- 111044617
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 811 KB
- Volume
- 60
- Category
- Article
- ISSN
- 0026-1386
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a t e m a t i c a -Universit6 di Trento -38050 -Povo (TN) -Italy. \*\*Dipartimento di M a t e m a t i c a -11 Universitft di R o m a -Italy, a n d Department o f M a t h e m a t i c s -
## Abstract Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often oneโsided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper intr
## Abstract We suggest an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane, and we apply the approach on annual and quarterly Danish stock and bond returns. For comparative purposes we also estimate and test the standard constant rela