Pages that link to "Item:Q4301276"

The following pages link to Multivariate Stochastic Variance Models (Q4301276):

Displaying 50 items.

• Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
• A general framework for predicting returns from multiple currency investments (Q1128948) (← links)
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (Q1298478) (← links)
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood (Q1305633) (← links)
• Testing for a slowly changing level with special reference to stochastic volatility (Q1305654) (← links)
• GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) (Q1362050) (← links)
• Detecting shocks: Outliers and breaks in time series (Q1371379) (← links)
• Estimation of stochastic volatility models with diagnostics (Q1372927) (← links)
• The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
• Finite sample properties of the ARCH class of models with stochastic volatility (Q1389738) (← links)
• Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
• Multivariate Wishart stochastic volatility and changes in regime (Q1622088) (← links)
• Long memory with stochastic variance model: a recursive analysis for US inflation (Q1623516) (← links)
• When long memory meets the Kalman filter: a comparative study (Q1623533) (← links)
• Dynamic factor multivariate GARCH model (Q1623556) (← links)
• A flexible and automated likelihood based framework for inference in stochastic volatility models (Q1623560) (← links)
• Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
• The split-SV model (Q1659144) (← links)
• Generalized dynamic factor models and volatilities: estimation and forecasting (Q1676377) (← links)
• A hybrid data cloning maximum likelihood estimator for stochastic volatility models (Q1695565) (← links)
• Gaussian variational approximation with sparse precision matrices (Q1702005) (← links)
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods (Q1757658) (← links)
• On asymmetric generalised t stochastic volatility models (Q1761658) (← links)
• Fourier inference for stochastic volatility models with heavy-tailed innovations (Q1785815) (← links)
• Financial econometrics -- a new discipline with new methods. (With comments) (Q1841087) (← links)
• Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723) (← links)
• Statistical inference for time-inhomogeneous volatility models. (Q1879945) (← links)
• Asymptotic filtering theory for multivariate ARCH models (Q1915438) (← links)
• Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (Q1927096) (← links)
• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes (Q1927109) (← links)
• Linear filtering for asymmetric stochastic volatility models (Q1929412) (← links)
• Simple estimators and inference for higher-order stochastic volatility models (Q2043263) (← links)
• Time-delayed stochastic volatility model (Q2077847) (← links)
• Fast and accurate variational inference for large Bayesian VARs with stochastic volatility (Q2097996) (← links)
• Parsimony inducing priors for large scale state-space models (Q2155306) (← links)
• A new filtering inference procedure for a GED state-space volatility model (Q2156805) (← links)
• Stochastic dominance tests (Q2177995) (← links)
• Dynamic tail inference with log-Laplace volatility (Q2191426) (← links)
• SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation (Q2223799) (← links)
• Modeling volatility using state space models with heavy tailed distributions (Q2228729) (← links)
• On fiscal and monetary policy-induced macroeconomic volatility dynamics (Q2246607) (← links)
• Realized stochastic volatility with general asymmetry and long memory (Q2398614) (← links)
• A non-iterative (trivial) method for posterior inference in stochastic volatility models (Q2405924) (← links)
• Periodic autoregressive stochastic volatility (Q2412761) (← links)
• Editorial: Dynamic factor models (Q2439042) (← links)
• Temporal aggregation of volatility models (Q2439047) (← links)
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations (Q2439048) (← links)
• On geometric ergodicity of skewed-SVCHARME models (Q2444396) (← links)
• Spurious persistence in stochastic volatility (Q2451401) (← links)
• Sequential monitoring of minimum variance portfolio (Q2461273) (← links)