A semiparametric stochastic volatility model (Q738174): Difference between revisions

@@ Property / describes a project that uses @@
+BUGS
@@ Property / describes a project that uses: BUGS / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+SemiPar
@@ Property / describes a project that uses: SemiPar / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+R2WinBUGS
@@ Property / describes a project that uses: R2WinBUGS / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2143100759
@@ Property / OpenAlex ID: W2143100759 / rank @@
+Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Asymmetric Multivariate Stochastic Volatility
@@ Property / cites work: Asymmetric Multivariate Stochastic Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+The structure of dynamic correlations in multivariate stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Time-varying leverage effects
@@ Property / cites work: Time-varying leverage effects / rank @@
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+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 @@
+Consistency of the maximum likelihood estimator for general hidden Markov models
+Normal rank
@@ Property / cites work @@
+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo maximum likelihood estimation for non-Gaussian state space models
+Normal rank
@@ Property / cites work @@
+Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
+Normal rank
@@ Property / cites work @@
+Simulation Run Length Control in the Presence of an Initial Transient
+Normal rank
@@ Property / cites work @@
+Q5726065
@@ Property / cites work: Q5726065 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
+Normal rank
@@ Property / cites work @@
+BUGS for a Bayesian analysis of stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Semiparametric Estimator of Time Series Conditional Variance
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Stochastic volatility with leverage: fast and efficient likelihood inference
+Normal rank
@@ Property / cites work @@
+Efficient high-dimensional importance sampling
@@ Property / cites work: Efficient high-dimensional importance sampling / rank @@
+Normal rank
@@ Property / cites work @@
+Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
+Normal rank
@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
+Normal rank
@@ Property / cites work @@
+Semiparametric Regression
@@ Property / cites work: Semiparametric Regression / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood analysis of non-Gaussian measurement time series
+Normal rank
@@ Property / cites work @@
+The Calculation of Posterior Distributions by Data Augmentation
+Normal rank
@@ Property / cites work @@
+Volume, volatility, and leverage: A dynamic analysis
+Normal rank
@@ Property / cites work @@
+Asymptotic nonequivalence of GARCH models and diffusions
+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:738174