An extension of stochastic volatility model with mixed frequency information
Yuhuang Shang and
Economics Letters, 2017, vol. 155, issue C, 144-148
This paper extends the SV model to the MF-SV model with mixed frequency information. We show the small sample properties with Monte Carlo experiment with MCMC method. The MF-SV model outperforms the basic SV model in the in-sample performance.
Keywords: Stochastic volatility; Mixed-frequency; Monte Carlo experiment; MCMC method; Unobservable component (search for similar items in EconPapers)
JEL-codes: C5 C22 G1 (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:144-148
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