Pages that link to "Item:Q3646962"
From MaRDI portal
The following pages link to Multivariate Stochastic Volatility (Q3646962):
Displayed 25 items.
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- Value-at-risk via mixture distributions reconsidered (Q1039677) (← links)
- Robust ranking of multivariate GARCH models by problem dimension (Q1623519) (← links)
- A flexible and automated likelihood based framework for inference in stochastic volatility models (Q1623560) (← links)
- Matrix exponential stochastic volatility with cross leverage (Q1659124) (← links)
- Dynamic equicorrelation stochastic volatility (Q1659169) (← links)
- Fourier inference for stochastic volatility models with heavy-tailed innovations (Q1785815) (← links)
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (Q1927147) (← links)
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support (Q1991935) (← links)
- Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (Q2116329) (← links)
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
- Scalable inference for a full multivariate stochastic volatility model (Q2682962) (← links)
- Multivariate Stochastic Volatility Model with Cross Leverage (Q3298481) (← links)
- (Q5011474) (← links)
- (Q5011566) (← links)
- Skew selection for factor stochastic volatility models (Q5037043) (← links)
- Comparison of asymmetric stochastic volatility models under different correlation structures (Q5138623) (← links)
- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations (Q5245468) (← links)
- Bayesian semiparametric multivariate stochastic volatility with application (Q5861010) (← links)
- Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method (Q5864356) (← links)
- A fractionally integrated Wishart stochastic volatility model (Q5864454) (← links)
- Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models (Q6108290) (← links)
- Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
- High‐dimensional sparse multivariate stochastic volatility models (Q6135331) (← links)
- Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models (Q6177007) (← links)