Smart Search
Cari koleksi dengan cepat sesuai kebutuhan Anda.
We propose a new method for simulation smoothing in state space models with univariate states and conditional dependence between the observation yt and the contemporaneous innovation of the state equation. Stochastic volatility models with the leverage effect are a leading example. Our method extends the HESSIAN method of McCausland (2012, Journal of Econometrics, 168, 189�206), which requ…
- Tahun Terbit
- -
Economic data are collected at various frequencies but econometric estimation typically uses the coarsest frequency. This article develops a Gibbs sampler for estimating vector autoregression (VAR) models with mixed and irregularly sampled data. The Gibbs sampler allows efficient likelihood inference and uses simple conjugate posteriors even in highdimensional parameter spaces, avoiding a no…
- Tahun Terbit
- -
Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short-run martingale behavior for financial assets with predictable long-run behavior, leaving much of the research to be empirically driven. The present article overviews recent contributions to this subject, focusing on the main pitfalls in conducting predictive regress…
- Tahun Terbit
- -
