SUMMARY We present a new time-varying model for palaeomagnetic axial dipole moment (PADM) for the past 2 Myr and compare it with earlier virtual axial dipole moment (VADM) reconstructions which have been based on stacking and averaging scaled relative palaeointensity records. The PADM is derived...
The unobserved sequence {gt}, commonly referred to as the log-volatility process, represents the time-varying "nervousness" of the market. This model captures several of the stylized facts attributed to asset returns, including positive autocorrelation of squared returns (indicating a volatility that ...
This research study builds on th latter in the context of time-varying parameters and large samples. Consider the following high-dimensional time series model: 𝑦𝑡=𝑥′𝑡𝛽+𝑢𝑡,yt=xt′β+ut, (1) where the stacked 𝑖=1,2,…,𝑛i=1,2,…,n denotes the units, 𝑡=1...