Bo Zhang

Research School of Economics, ANU

Canberra, Australian Capital Territory 2601

Australia

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Scholarly Papers (1)

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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
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Abstract:

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