Estimation of stochastic volatility models with diagnostics (Q1372927): Difference between revisions

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-David A. Hsieh
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+David A. Hsieh
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+MaRDI publication profile
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@@ Property / cites work @@
+Estimating continuous-time stochastic volatility models of the short-term interest rate
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+Nonparametric estimation of structural models for high-frequency currency market data
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+Modeling and pricing long memory in stock market volatility
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+The detection and estimation of long memory in stochastic volatility
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+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
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+Simulated Moments Estimation of Markov Models of Asset Prices
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+Convergence Rates of SNP Density Estimators
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+Qualitative and asymptotic performance of SNP density estimators
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+Estimating stochastic differential equations efficiently by minimum chi-squared
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+Semi-Nonparametric Maximum Likelihood Estimation
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+Nonlinear Dynamic Structures
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+Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Multivariate Stochastic Variance Models
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Estimating the dimension of a model
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+The Fractional Unit Root Distribution
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+The Price Variability-Volume Relationship on Speculative Markets
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+Q5445942
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+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0304-4076(97)00039-0
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+W3123110032
@@ Property / OpenAlex ID: W3123110032 / rank @@
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+Publication:1372927