Blar i Publikasjoner fra CRIStin - BI på forfatter "Cross, Jamie"
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On the Contribution of International Shocks in Australian Business Cycle Fluctuations
Cross, Jamie; Poon, Aubrey (Journal article; Peer reviewed, 2019)What proportion of Australian business cycle fluctuations are caused by international shocks? We address this question by estimating a panel VAR model that has time-varying parameters and a common stochastic volatility ... -
Returns, Volatility and the Cryptocurrency Bubble of 2017-18
Cross, Jamie; Hou, Chenghan; Trinh, Kelly (Journal article; Peer reviewed, 2021)Research on cryptocurrencies has focused on price and volatility formation in isolation, however knowledge about their interdependence is important for risk management and asset allocation. We investigate the existence and ... -
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 ...