Asymmetric Multivariate Stochastic Volatility (Q5485115): Difference between revisions

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+Dynamic Asymmetric Leverage in Stochastic Volatility Models
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+Kurtosis of GARCH and stochastic volatility models with non-normal innovations
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+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
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+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
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+Monte Carlo maximum likelihood estimation for non-Gaussian state space models
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+The Folded Normal Distribution: Two Methods of Estimating Parameters from Moments
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+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
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+Computing a nearest symmetric positive semidefinite matrix
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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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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+Q5445942
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+On leverage in a stochastic volatility model
@@ Property / cites work: On leverage in a stochastic volatility model / rank @@
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