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Modeling Cyclical Asymmetries in GDP: International Evidence

✍ Scribed by José Ramón Cancelo; Estefanía Mourelle


Publisher
Springer US
Year
2005
Tongue
English
Weight
952 KB
Volume
33
Category
Article
ISSN
0197-4254

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The stochastic volatility in mean model:
✍ Professor Siem Jan Koopman; Eugenie Hol Uspensky 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB 👁 2 views

## Abstract In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extens