Dynamic tail inference with log-Laplace volatility (Q2191426): Difference between revisions

@@ Property / arXiv ID @@
+.02419
@@ Property / arXiv ID: 1901.02419 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Markov chain Monte Carlo methods for stochastic volatility models.
+Normal rank
@@ Property / cites work @@
+Q3855962
@@ Property / cites work: Q3855962 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+A moving window approach for nonparametric estimation of the conditional tail index
+Normal rank
@@ Property / cites work @@
+Estimation of the conditional tail index using a smoothed local Hill estimator
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+The incomplete gamma functions
@@ Property / cites work: The incomplete gamma functions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4315010
@@ Property / cites work: Q4315010 / rank @@
+Normal rank
@@ Property / cites work @@
+Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
+Normal rank
@@ Property / cites work @@
+The dynamic power law model
@@ Property / cites work: The dynamic power law model / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Deterministic Nonperiodic Flow
@@ Property / cites work: Deterministic Nonperiodic Flow / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic tail index model for high frequency financial data with Bayesian analysis
+Normal rank
@@ Property / cites work @@
+Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Statistical inference using extreme order statistics
+Normal rank
@@ Property / cites work @@
+Q4125549
@@ Property / cites work: Q4125549 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of stochastic volatility models via Monte Carlo maximum likelihood
+Normal rank
@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling Nonlinear Economic Time Series
@@ Property / cites work: Modelling Nonlinear Economic Time Series / rank @@
+Normal rank
@@ Property / cites work @@
+Q4864293
@@ Property / cites work: Q4864293 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling maxima with autoregressive conditional Fréchet model
+Normal rank