The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters
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DOI: 10.1016/j.physa.2019.122329
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More about this item
Keywords
Precious metals; Uncertainty; Stochastic volatility; State-space model;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
Statistics
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