Structural breaks in Taylor rule based exchange rate models -- evidence from threshold time varying parameter models

DOI10.1016/J.ECONLET.2016.11.008zbMath1400.62322OpenAlexW2549330321MaRDI QIDQ1672749

Florian Huber

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://epub.wu.ac.at/5461/1/wp244.pdf

zbMATH Keywords

forecaststochastic volatilitytime-varying parametersmixture innovation models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model

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