Unobserved component models with asymmetric conditional variances
- 1 May 2006
- journal article
- Published by Elsevier in Computational Statistics & Data Analysis
- Vol. 50 (9) , 2146-2166
- https://doi.org/10.1016/j.csda.2004.12.009
Abstract
No abstract availableKeywords
All Related Versions
This publication has 25 references indexed in Scilit:
- Constrained Indirect EstimationThe Review of Economic Studies, 2004
- Likelihood-Based Estimation of Latent Generalized ARCH StructuresEconometrica, 2004
- A multivariate latent factor decomposition of international bond yield spreadsJournal of Applied Econometrics, 2000
- Unobserved components in ARCH models: An application to seasonal adjustmentJournal of Forecasting, 1996
- Inflation Regimes and the Sources of Inflation UncertaintyJournal of Money, Credit and Banking, 1993
- Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity ApproachJournal of Business & Economic Statistics, 1993
- TIME‐REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIESJournal of Time Series Analysis, 1992
- Discovering the Link Between Inflation Rates and Inflation UncertaintyJournal of Money, Credit and Banking, 1991
- Inflation and Uncertainty at Short and Long HorizonsBrookings Papers on Economic Activity, 1990
- The dynamics of exchange rate volatility: A multivariate latent factor ARCH modelJournal of Applied Econometrics, 1989