An extension of stochastic volatility model with mixed frequency information
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DOI: 10.1016/j.econlet.2017.04.003
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References listed on IDEAS
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Cited by:
- Yang, Xinglin & Shang, Yuhuang, 2024. "Pricing VIX futures with mixed frequency macroeconomic information," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 847-857.
- Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023.
"Bayesian predictive distributions of oil returns using mixed data sampling volatility models,"
Resources Policy, Elsevier, vol. 86(PA).
- Virbickaite, Audrone & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models," Working Papers 2023:7, Örebro University, School of Business.
- Shang, Yuhuang & Zheng, Tingguo, 2021. "Mixed-frequency SV model for stock volatility and macroeconomics," Economic Modelling, Elsevier, vol. 95(C), pages 462-472.
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More about this item
Keywords
Stochastic volatility; Mixed-frequency; Monte Carlo experiment; MCMC method; Unobservable component;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G1 - Financial Economics - - General Financial Markets
Statistics
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