The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation
Economics Letters, 2017, vol. 155, issue C, 14-18
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:155:y:2017:i:c:p:14-18
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