Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target

DOI10.1016/j.econlet.2017.02.012zbMath1396.62270OpenAlexW2588802166MaRDI QIDQ1783450

Stefanos Dimitrakopoulos, Dey, Dipak K.

Publication date: 21 September 2018

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

Full work available at URL: http://eprints.whiterose.ac.uk/141639/1/manuscript_1.pdf

zbMATH Keywords

Markov chain Monte Carlostate-space modelconditional heteroscedasticitydiscrete responses

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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