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The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation

Stefanos Dimitrakopoulos

Economics Letters, 2017, vol. 155, issue C, 14-18

Abstract: We propose a semiparametric extension of the time-varying parameter regression model with asymmetric stochastic volatility. For parameter estimation we use Bayesian methods. We illustrate our methods with an application to US inflation.

Keywords: Asymmetric stochastic volatility; Dirichlet process; Markov chain Monte Carlo; Time-varying parameters; Inflation (search for similar items in EconPapers)
JEL-codes: C11 C14 C15 C22 (search for similar items in EconPapers)
Date: 2017
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