Data cloning estimation for asymmetric stochastic volatility models (Q5861027): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W2946092103 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian estimation of a skew-Student-\(t\) stochastic volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Distribution of Realized Exchange Rate Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Forecasting Realized Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Realized stochastic volatility with general asymmetry and long memory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic Asymmetric Leverage in Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Threshold variable selection of asymmetric stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility in asset prices. Estimation with simulated maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model / rank
 
Normal rank
Property / cites work
 
Property / cites work: On filtering and estimation of a threshold stochastic volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Bayesian Modeling of Fat Tails and Skewness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kalman filter-based modelling and forecasting of stochastic volatility with threshold / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Model Confidence Set / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Variance Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2931895 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimability and Likelihood Inference for Generalized Linear Mixed Models Using Data Cloning / rank
 
Normal rank
Property / cites work
 
Property / cites work: BUGS for a Bayesian analysis of stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility forecast comparison using imperfect volatility proxies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of stochastic volatility models via Monte Carlo maximum likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Likelihood analysis of non-Gaussian measurement time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Prediction‐based estimating functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: News impact curve for stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY / rank
 
Normal rank
Property / cites work
 
Property / cites work: A triple-threshold leverage stochastic volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: On leverage in a stochastic volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: A semiparametric stochastic volatility model / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 04:48, 28 July 2024

scientific article; zbMATH DE number 7484549
Language Label Description Also known as
English
Data cloning estimation for asymmetric stochastic volatility models
scientific article; zbMATH DE number 7484549

    Statements

    Data cloning estimation for asymmetric stochastic volatility models (English)
    0 references
    0 references
    0 references
    0 references
    4 March 2022
    0 references
    asymmetric volatility
    0 references
    data cloning
    0 references
    non-Gaussian nonlinear time series models
    0 references
    skewed and heavy-tailed distributions
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references