Blar i Publikasjoner fra CRIStin - BI på forfatter "Chan, Joshua"
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Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts
Zhang, Bo; Chan, Joshua; Cross, Jamie (Journal article; Peer reviewed, 2020)We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a ...