Pages that link to "Item:Q262831"
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The following pages link to On leverage in a stochastic volatility model (Q262831):
Displaying 47 items.
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach (Q2343097) (← links)
- Realized stochastic volatility with general asymmetry and long memory (Q2398614) (← links)
- News impact curve for stochastic volatility models (Q2440158) (← links)
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions (Q2445744) (← links)
- On idiosyncratic stochasticity of financial leverage effects (Q2453988) (← links)
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture (Q2512619) (← links)
- A new approach to Bayesian hypothesis testing (Q2512626) (← links)
- Estimating stochastic volatility models using realized measures (Q2691659) (← links)
- A unified framework jointly explaining business conditions, stock returns, volatility and ``volatility feedback news'' effects (Q2697029) (← links)
- Leveraged Lévy processes as models for stock prices (Q2786277) (← links)
- Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo (Q2911650) (← links)
- American Option Valuation with Particle Filters (Q2917425) (← links)
- A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS (Q2933192) (← links)
- Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) (← links)
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models (Q3087583) (← links)
- Simulation-Based Estimation Methods for Financial Time Series Models (Q3112468) (← links)
- Multivariate stochastic volatility, leverage and news impact surfaces (Q3161679) (← links)
- Non‐trading day effects in asymmetric conditional and stochastic volatility models (Q3594915) (← links)
- NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
- Pricing participating policies under the Meixner process and stochastic volatility (Q4577195) (← links)
- Value at risk estimation under stochastic volatility models using adaptive PMCMC methods (Q4607381) (← links)
- EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING (Q4608114) (← links)
- Stochastic Filtering Methods in Electronic Trading (Q4626524) (← links)
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models (Q4627135) (← links)
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について (Q5011476) (← links)
- (Q5011566) (← links)
- Skew selection for factor stochastic volatility models (Q5037043) (← links)
- Comparison of asymmetric stochastic volatility models under different correlation structures (Q5138623) (← links)
- Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models (Q5427674) (← links)
- Multivariate Stochastic Volatility: A Review (Q5485102) (← links)
- Multivariate Stochastic Volatility Models with Correlated Errors (Q5485105) (← links)
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (Q5485109) (← links)
- Asymmetric Multivariate Stochastic Volatility (Q5485115) (← links)
- Data cloning estimation for asymmetric stochastic volatility models (Q5861027) (← links)
- Predictability, real time estimation, and the formulation of unobserved components models (Q5862414) (← links)
- GMM estimation of a realized stochastic volatility model: A Monte Carlo study (Q5862494) (← links)
- Bayesian analysis of multivariate stochastic volatility with skew return distribution (Q5864448) (← links)
- (Q5879918) (← links)
- Shape-constrained semiparametric additive stochastic volatility models (Q5879997) (← links)
- Comment on article by Windle and Carvalho (Q5966324) (← links)
- Estimation and forecasting of long memory stochastic volatility models (Q6039116) (← links)
- Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (Q6049839) (← links)
- Stochastic modelling of volatility and inter-relationships in the Australian electricity markets (Q6050517) (← links)
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution (Q6074097) (← links)
- Volatility of volatility and leverage effect from options (Q6118716) (← links)
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation (Q6138232) (← links)
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry (Q6158371) (← links)