An extension of stochastic volatility model with mixed frequency information

Yuhuang Shang and Lulu Liu

Economics Letters, 2017, vol. 155, issue C, 144-148

Abstract: 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: C22 C5 G1 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:155:y:2017:i:c:p:144-148

DOI: 10.1016/j.econlet.2017.04.003

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