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stat.ME2026
Dynamic Factor Stochastic Volatility-in-Mean VAR for Large Macroeconomic Panels
Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori
We develop a dynamic factor stochastic volatility-in-mean (SVM) specification for vector autoregressions (VARs) that embeds an SVM component within a dynamic factor stochastic vola…
stat.ME2026
Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models
Daichi Hiraki, Yasuhiro Omori
We propose a unified mixture sampler (UMS) that provides a universal estimation framework for nonlinear state-space models with "exp-exp" likelihood kernels. Unlike existing method…