Pages that link to "Item:Q899508"
From MaRDI portal
The following pages link to Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (Q899508):
Displayed 50 items.
- A Bayesian robust chi-squared test for testing simple hypotheses (Q2024459) (← links)
- Objective Bayesian analysis for the Student-\(t\) linear regression (Q2057376) (← links)
- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility (Q2066041) (← links)
- A Bayesian regression model for the non-standardized \(t\) distribution with location, scale and degrees of freedom parameters (Q2091337) (← links)
- A new filtering inference procedure for a GED state-space volatility model (Q2156805) (← links)
- SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation (Q2223799) (← links)
- Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty (Q2236881) (← links)
- Bayesian multivariate latent class profile analysis: exploring the developmental progression of youth depression and substance use (Q2242033) (← links)
- A fast and efficient Markov chain Monte Carlo method for market microstructure model (Q2244387) (← links)
- Threshold variable selection of asymmetric stochastic volatility models (Q2259328) (← links)
- On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method (Q2292051) (← links)
- Bayesian semiparametric double autoregressive modeling (Q2298423) (← links)
- Modeling financial time series based on a market microstructure model with leverage effect (Q2314707) (← links)
- An alternative form to calibrate the correlated Stein-Stein option pricing model (Q2322457) (← links)
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach (Q2343097) (← links)
- Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods (Q2354744) (← links)
- Semiparametric stochastic volatility modelling using penalized splines (Q2354745) (← links)
- A Bayesian semiparametric model for volatility with a leverage effect (Q2361227) (← links)
- Moving average stochastic volatility models with application to inflation forecast (Q2442456) (← links)
- Covariance and precision matrix estimation for high-dimensional time series (Q2443210) (← links)
- On geometric ergodicity of skewed-SVCHARME models (Q2444396) (← links)
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions (Q2445744) (← links)
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture (Q2512619) (← links)
- Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes (Q2656594) (← links)
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks (Q2687889) (← links)
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications (Q2691760) (← links)
- Learning for infinitely divisible GARCH models in option pricing (Q2699614) (← links)
- Sampling-based Inference of Time Deformation Models with Heavy Tail Distributions (Q2828698) (← links)
- EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING (Q2831002) (← links)
- Parallel tempering for dynamic generalized linear models (Q2832630) (← links)
- American Option Valuation with Particle Filters (Q2917425) (← links)
- A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS (Q2933192) (← links)
- Gain from the two-envelope problem via information asymmetry: on the suboptimality of randomized switching (Q3092877) (← links)
- Multivariate stochastic volatility, leverage and news impact surfaces (Q3161679) (← links)
- Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage (Q3297248) (← links)
- NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models (Q4627135) (← links)
- Implied integrated variance and hedging (Q4683083) (← links)
- Predicting crypto‐currencies using sparse non‐Gaussian state space models (Q4687677) (← links)
- Flexible weighted dirichlet process mixture modelling and evaluation to address the problem of forecasting return distribution (Q4988819) (← links)
- Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand (Q5128932) (← links)
- Variable dimension via stochastic volatility model using FX rates (Q5129099) (← links)
- Comparison of asymmetric stochastic volatility models under different correlation structures (Q5138623) (← links)
- Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation (Q5220864) (← links)
- Bayesian testing for jumps in stochastic volatility models with correlated jumps (Q5247227) (← links)
- Bayesian modeling of financial returns: A relationship between volatility and trading volume (Q5391301) (← links)
- Implicit Estimation for the Stochastic Volatility Model (Q5419350) (← links)
- Multivariate Stochastic Volatility: A Review (Q5485102) (← links)
- Continuous Time Wishart Process for Stochastic Risk (Q5485103) (← links)
- Multivariate Stochastic Volatility Models with Correlated Errors (Q5485105) (← links)