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A non-linear filtering approach to stochastic volatility models with an appli...
This paper develops a new model for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is difficult to evaluate the exact... -
The time-varying behaviour of real interest rates: a re-evaluation of the rec...
A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the...
