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Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models
Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this article, we modify the stochastic volatility in mean (SVM) model by introducing state‐of‐t...
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| Publicado no: | J Appl Econ (Chichester Engl) |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
John Wiley and Sons Inc.
2021
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC8048439/ https://ncbi.nlm.nih.gov/pubmed/33867657 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1002/jae.2804 |
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