Jamie Cross

The Australian National University

SCHOLARLY PAPERS

3

DOWNLOADS

56

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Stochastic Volatility Models with ARMA Innovations: An Application to G7 Inflation Forecasts

CAMA Working Paper No. 32/2018
Number of pages: 34 Posted: 03 Jul 2018
Bo Zhang, Joshua Chan and Jamie Cross
Research School of Economics, ANU, University of Technology Sydney (UTS) and The Australian National University
Downloads 24 (538,327)

Abstract:

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autoregressive moving average errors, stochastic volatility, inflation forecast, state space models, unobserved components model

2.

International Transmissions of Aggregate Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach

CAMA Working Paper No. 16/2018
Number of pages: 33 Posted: 18 Apr 2018
Jamie Cross, Chenghan Hou and Aubrey Poon
The Australian National University, Hunan University - Center for Economics, Finance and Management Studies and University of Strathclyde - Centre for Applied Macroeconomic Analysis
Downloads 21 (556,797)
Citation 2

Abstract:

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Bayesian VARs, International Spillovers, State-Space Models, Stochastic Volatility in Mean, Uncertainty

3.

Stochastic Volatility Models with ARMA Innovations an Application to G7 Inflation Forecasts

Zhang B, Chan JCC, Cross JL, June 2018, Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts paper no. 32/2018.
Number of pages: 32 Posted: 30 Jul 2018
Bo Zhang, Joshua C. C. Chan and Jamie Cross
School of Accounting, Economics and Finance, University of Technology Sydney (UTS) - UTS Business School and The Australian National University
Downloads 11 (622,341)

Abstract:

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autoregressive moving average errors, stochastic volatility, inflation forecast, state space models, unobserved components model