A semiparametric stochastic volatility model (Q738174): Difference between revisions

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+The Distribution of Realized Exchange Rate Volatility
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+Asymmetric Multivariate Stochastic Volatility
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+The structure of dynamic correlations in multivariate stochastic volatility models
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+Time-varying leverage effects
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Marginal Likelihood from the Gibbs Output
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+Consistency of the maximum likelihood estimator for general hidden Markov models
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+THE GARCH OPTION PRICING MODEL
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+Monte Carlo maximum likelihood estimation for non-Gaussian state space models
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+Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
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+Simulation Run Length Control in the Presence of an Initial Transient
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+Q5726065
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
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+BUGS for a Bayesian analysis of stochastic volatility models
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+Semiparametric Estimator of Time Series Conditional Variance
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+ARCH models as diffusion approximations
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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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+Efficient high-dimensional importance sampling
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+Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
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+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
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+Semiparametric Regression
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+Likelihood analysis of non-Gaussian measurement time series
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+The Calculation of Posterior Distributions by Data Augmentation
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+Volume, volatility, and leverage: A dynamic analysis
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+Asymptotic nonequivalence of GARCH models and diffusions
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+On leverage in a stochastic volatility model
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