Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5057640 | Economics Letters | 2017 | 5 Pages |
Abstract
â¢We extend the basic SV model with mixed frequency information which is referred to as the MF-SV model.â¢The MCMC method is discussed to realize the parameter estimation by a mixture approximation model.â¢The MF-SV model can significantly identify the time-varying stable component.â¢The MF-SV model can improve the in-sample fitting results that outperform the basic SV model.
This paper extends the SV model to the MF-SV model with mixed frequency information. We show the small sample properties with Monte Carlo experiment with MCMC method. The MF-SV model outperforms the basic SV model in the in-sample performance.
Related Topics
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yuhuang Shang, Lulu Liu,