๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Decomposition of inflation and its volatility: A stochastic approach

โœ 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.


๐Ÿ“œ SIMILAR VOLUMES


A maximal affine stochastic volatility m
โœ W. Keener Hughen ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 333 KB ๐Ÿ‘ 1 views

## 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 threeโ€factor model with one state variable driving the volatility and is maximal among all such models that are also ident

State-space stochastic volatility models
โœ Capobianco, Enrico ๐Ÿ“‚ Article ๐Ÿ“… 1996 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 904 KB

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

A non-linear filtering approach to stoch
โœ Toshiaki Watanabe ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 199 KB ๐Ÿ‘ 2 views

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