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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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## 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