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An exchange rate smoothing policy in an inflation tar- geting framework reduces the volatility of exchange rates in the case of more for- ward-looking private agents, but at the cost
As an example, we use the Bayesian investor’s portfolio allocation problem to show that failure to include probability point mass on the null hypothesis that returns are not
The stock market risk–return relation is found to be positive, as stipulated by the capital asset pricing model; however, idiosyncratic volatility is negatively related to future
In the cases of independent noise and noise with dependence in tick time, the volatility is identifiable even though HL’s es- timators are inconsistent.. On the other hand,
But the main drawback of this density is that it is symmetric, whereas the distribution of financial returns may be skewed. Consequently, using a more appropriate distribution may
That we nd evidence for a volatility reduction in aggregate - nal sales is perhaps not surprising given that we have already shown that the Bayesian model comparison nds evidence
Using the data set of Watanabe (2000), Liesenfeld and Richard estimated the sto- chastic volatility model and the Tauchen and Pitts (1983) model based on the maximum likelihood
Median spell lengths for food stamp participation increased by nearly three months after South Carolina increased its recertification intervals for households with earnings, and
