A multivariate threshold stochastic volatility model (Q960327): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 4 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1988861049 / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q91906239 / 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: Multivariate Stochastic Volatility: A Review / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymmetric Multivariate Stochastic Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: The structure of dynamic correlations in multivariate stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Gibbs sampling for state space models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Volatility Models with Correlated Errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of high dimensional multivariate 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: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Variance Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian analysis of stochastic volatility models with fat-tails and correlated errors / 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: A Multivariate Threshold Varying Conditional Correlations Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3125700 / 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: Multivariate modelling of the autoregressive random variance process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Threshold models in non-linear time series analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3928091 / 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: Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 23:00, 28 June 2024

scientific article
Language Label Description Also known as
English
A multivariate threshold stochastic volatility model
scientific article

    Statements

    A multivariate threshold stochastic volatility model (English)
    0 references
    0 references
    17 December 2008
    0 references
    0 references
    0 references
    0 references
    0 references
    dynamic correlation
    0 references
    finance
    0 references
    stochastic volatility
    0 references
    threshold nonlinearity
    0 references
    volatility asymmetry
    0 references
    0 references
    0 references
    0 references
    0 references