Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427): Difference between revisions

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+Likelihood-based inference for asymmetric stochastic volatility models
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+Alternative models for stock price dynamics.
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+Marginal Likelihood from the Gibbs Output
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+Marginal Likelihood From the Metropolis–Hastings Output
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+Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation
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+Markov chain Monte Carlo methods for stochastic volatility models.
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+The diffuse Kalman filter
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+The simulation smoother for time series models
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+A simple and efficient simulation smoother for state space time series analysis
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Testing for volatility jumps in the stochastic volatility process
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Stochastic volatility with leverage: fast and efficient likelihood inference
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+Block sampler and posterior mode estimation for asymmetric stochastic volatility models
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+Filtering via Simulation: Auxiliary Particle Filters
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+Comparing stochastic volatility models through Monte Carlo simulations
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+Q5708631
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+Markov chains for exploring posterior distributions. (With discussion)
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+On leverage in a stochastic volatility model
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