Transition from the Taylor rule to the zero lower bound

Publikation: Working paperForskning

Dokumenter

  • rp18_31

    Forlagets udgivne version, 675 KB, PDF-dokument

  • Stan Hurn, School of Economics and Finance, Queensland University of Technology, Australien
  • Nicholas Johnson, School of Economics and Finance, Queensland University of Technology, Australien
  • Annastiina Silvennoinen, Queensland University of Technology, Australien
  • Timo Terasvirta
Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Sider21
StatusUdgivet - 3 dec. 2018
SerietitelCREATES Research Papers
Nummer2018-31

    Forskningsområder

  • Conditional heteroskedasticity, Deterministically varying correlations, Multiplicative decomposition, Nonstationary volatility

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