The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation

Dimitrakopoulos, S (2017) The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation. Economics Letters, 155. pp. 14-18. ISSN 0165-1765

Abstract

Metadata

Item Type: Article
Authors/Creators:
  • Dimitrakopoulos, S
Copyright, Publisher and Additional Information:

© 2017 Elsevier B.V. All rights reserved. This is an author produced version of a paper published in Economics Letters. Uploaded in accordance with the publisher's self-archiving policy
Keywords: Asymmetric stochastic volatility; Dirichlet process; Markov chain; Monte Carlo; Time-varying parameters; Inflation
Dates:
  • Published: June 2017
  • Published (online): 6 March 2017
  • Accepted: 28 February 2017
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 28 Jan 2019 10:35
Last Modified: 28 Jan 2019 10:35
Status: Published
Publisher: Elsevier
Identification Number: 10.1016/j.econlet.2017.02.039
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