## Abstract This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine threeโfactor model with one state variable driving the volatility and is maximal among all such models that are also ident
Decomposition of inflation and its volatility: A stochastic approach
โ Scribed by A. G. Malliaris; Mary E. Malliaris
- Publisher
- Springer US
- Year
- 1995
- Tongue
- English
- Weight
- 604 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0924-865X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Stochastic volatility models (SVMs) represent an important framework for the analysis of financial time series data, together with ARCH-type models; but unlike the latter, the former, at least from the statistical point of view, cannot rely on the possibility of obtaining exact inference, in particu
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