McMC estimation of multiscale stochastic volatility models with applications (Q2229879): Difference between revisions

@@ Property / author @@
-German Molina
@@ Property / author: German Molina / rank @@
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@@ Property / author @@
+German Molina
@@ Property / author: German Molina / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2013.07.005
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@@ Property / OpenAlex ID @@
+W2057452621
@@ Property / OpenAlex ID: W2057452621 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Markov chain Monte Carlo methods for stochastic volatility models.
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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@@ Property / cites work @@
+A smooth estimator for MC/QMC methods in finance
@@ Property / cites work: A smooth estimator for MC/QMC methods in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Q4267796
@@ Property / cites work: Q4267796 / rank @@
+Normal rank