Dynamic Asymmetric Leverage in Stochastic Volatility Models (Q5697355): Difference between revisions

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+Testing for serial correlation in the presence of stochastic volatility
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+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
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+On a measure of lack of fit in time series models
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+AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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+Testing for serial correlation in the presence of dynamic heteroscedasticity
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+A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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+On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
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