Indirect estimation of \(\alpha \)-stable stochastic volatility models (Q961424): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2008.11.016
+Normal rank
@@ Property / OpenAlex ID @@
+W2161991675
@@ Property / OpenAlex ID: W2161991675 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation When a Parameter is on a Boundary
@@ Property / cites work: Estimation When a Parameter is on a Boundary / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation in a first order autoregressive scheme with non—normal stable disturbances
+Normal rank
@@ Property / cites work @@
+Post-'87 crash fears in the S\&P 500 futures option market
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Stable Distributions
@@ Property / cites work: Bayesian Inference for Stable Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Constrained Indirect Estimation
@@ Property / cites work: Constrained Indirect Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+A Method for Simulating Stable Random Variables
@@ Property / cites work: A Method for Simulating Stable Random Variables / rank @@
+Normal rank
@@ Property / cites work @@
+Markov chain Monte Carlo methods for stochastic volatility models.
+Normal rank
@@ Property / cites work @@
+On the relation between GARCH and stable processes
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Estimation of stable distributions by indirect inference
+Normal rank
@@ Property / cites work @@
+Autoregressive processes with infinite variance
@@ Property / cites work: Autoregressive processes with infinite variance / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
+Normal rank
@@ Property / cites work @@
+Stable modeling of value at risk
@@ Property / cites work: Stable modeling of value at risk / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian inference for \(\alpha \)-stable distributions: a random walk MCMC approach
+Normal rank
@@ Property / cites work @@
+Indirect Estimation of α-Stable Distributions and Processes
+Normal rank
@@ Property / cites work @@
+Simple consistent estimators of stable distribution parameters
+Normal rank
@@ Property / cites work @@
+Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
+Normal rank
@@ Property / cites work @@
+A method for simulating stable random vectors
@@ Property / cites work: A method for simulating stable random vectors / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical calculation of stable densities and distribution functions
+Normal rank
@@ Property / cites work @@
+Portfolio selection with stable distributed returns
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank