Pages that link to "Item:Q899508"
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The following pages link to Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (Q899508):
Displayed 50 items.
- A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model (Q135452) (← links)
- On the use of non-linear transformations in stochastic volatility models (Q257523) (← links)
- On leverage in a stochastic volatility model (Q262831) (← links)
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
- MCMC maximum likelihood for latent state models (Q276938) (← links)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models (Q302189) (← links)
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence (Q334843) (← links)
- Spurious regressions driven by excessive volatility (Q427122) (← links)
- On generalised asymmetric stochastic volatility models (Q429633) (← links)
- Stochastic volatility in mean models with heavy-tailed distributions (Q447982) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702) (← links)
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
- Time-varying leverage effects (Q527980) (← links)
- Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
- Bayesian estimation of an extended local scale stochastic volatility model (Q737916) (← links)
- Stick-breaking autoregressive processes (Q737918) (← links)
- Objective prior for the number of degrees of freedom of a \(t\) distribution (Q899016) (← links)
- A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
- Hellinger distance and non-informative priors (Q899064) (← links)
- Comparing stochastic volatility models through Monte Carlo simulations (Q959262) (← links)
- Bayesian analysis of the stochastic conditional duration model (Q959312) (← links)
- A Bayesian approach to bandwidth selection for multivariate kernel density estimation (Q959388) (← links)
- A multivariate threshold stochastic volatility model (Q960327) (← links)
- Indirect estimation of \(\alpha \)-stable stochastic volatility models (Q961424) (← links)
- Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427) (← links)
- Simulated minimum Hellinger distance estimation of stochastic volatility models (Q961438) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632) (← links)
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (Q1023615) (← links)
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models (Q1023620) (← links)
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions (Q1025340) (← links)
- Testing for jumps in the stochastic volatility models (Q1025341) (← links)
- A general approach to Bayesian portfolio optimization (Q1040692) (← links)
- The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978) (← links)
- Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
- A generalised stochastic volatility in mean VAR (Q1626966) (← links)
- Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258) (← links)
- Horizon effect in the term structure of long-run risk-return trade-offs (Q1659133) (← links)
- Objective priors for the number of degrees of freedom of a multivariate \(t\) distribution and the \(t\)-copula (Q1662868) (← links)
- Discussion of ``Nonparametric Bayesian inference in applications'': Bayesian nonparametric methods in econometrics (Q1663604) (← links)
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models (Q1695565) (← 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)
- Improved maximum likelihood estimation of Heston model and pricing efficiency test: Hong Kong Hang Seng index option (Q1793537) (← links)
- Applications of the characteristic function-based continuum GMM in finance (Q1927140) (← links)
- Linear filtering for asymmetric stochastic volatility models (Q1929412) (← links)