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Research

Results for stochastic volatility

Publications & Outputs

  1. Bayesian inference using least median of squares and least trimmed squares in models with independent or correlated errors and outliers

    Tsionas, M., 16/07/2023, (E-pub ahead of print) In: Communications in Statistics - Theory and Methods. 12 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  2. Modeling Changes in U.S. Monetary Policy with a Time-Varying Nonlinear Taylor Rule

    Nguyen, A., Pavlidis, E. & Peel, D. A., 12/2018, In: Studies in Nonlinear Dynamics and Econometrics. 22, 5, 16 p., 20170092.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  3. Financial frictions and the volatility of monetary policy in a DSGE model

    Nguyen, A., 2015, Lancaster: Lancaster University, Department of Economics, 33 p. (Economics Working Paper Series; vol. 2015, no. 6).

    Research output: Working paper

  4. Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications

    Taylor, S. J., 1/08/1999, In: Philosophical Transactions A: Mathematical, Physical and Engineering Sciences . 357, 1758, p. 2059-2070 12 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review