Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (Q5485109): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2064553712
@@ Property / OpenAlex ID: W2064553712 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4769776
@@ Property / cites work: Q4769776 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Volatility Models with Correlated Errors
+Normal rank
@@ Property / cites work @@
+Marginal Likelihood from the Gibbs Output
@@ Property / cites work: Marginal Likelihood from the Gibbs Output / rank @@
+Normal rank
@@ Property / cites work @@
+Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
+Normal rank
@@ Property / cites work @@
+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
+Normal rank
@@ Property / cites work @@
+Q3999341
@@ Property / cites work: Q3999341 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Theory &amp; Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
+Normal rank
@@ Property / cites work @@
+Q5200700
@@ Property / cites work: Q5200700 / rank @@
+Normal rank
@@ Property / cites work @@
+AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
+Normal rank
@@ Property / cites work @@
+BUGS for a Bayesian analysis of stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
+Normal rank
@@ Property / cites work @@
+Bayesian Measures of Model Complexity and Fit
@@ Property / cites work: Bayesian Measures of Model Complexity and Fit / rank @@
+Normal rank
@@ Property / cites work @@
+On leverage in a stochastic volatility model
@@ Property / cites work: On leverage in a stochastic volatility model / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5485109