Pages that link to "Item:Q262831"
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The following pages link to On leverage in a stochastic volatility model (Q262831):
Displaying 50 items.
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models (Q70784) (← links)
- Sparse Bayesian time-varying covariance estimation in many dimensions (Q117775) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- A new approach to model regime switching (Q341901) (← links)
- The leverage effect puzzle: the case of European sovereign credit default swap market (Q345723) (← links)
- On generalised asymmetric stochastic volatility models (Q429633) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263) (← links)
- An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series (Q465611) (← links)
- Maximum likelihood estimation of partially observed diffusion models (Q469573) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Time-varying leverage effects (Q527980) (← links)
- Bayesian analysis of structural credit risk models with microstructure noises (Q609830) (← links)
- Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
- Bayesian estimation of an extended local scale stochastic volatility model (Q737916) (← links)
- Bayesian hypothesis testing in latent variable models (Q738117) (← links)
- A semiparametric stochastic volatility model (Q738174) (← links)
- American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
- A multivariate threshold stochastic volatility model (Q960327) (← links)
- Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427) (← 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)
- A class of nonlinear stochastic volatility models and its implications for pricing currency options (Q1010566) (← 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)
- Testing for jumps in the stochastic volatility models (Q1025341) (← links)
- Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
- A flexible and automated likelihood based framework for inference in stochastic volatility models (Q1623560) (← links)
- VIX forecast under different volatility specifications (Q1627811) (← links)
- Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258) (← links)
- Estimation of agent-based models using sequential Monte Carlo methods (Q1657383) (← links)
- Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
- Matrix exponential stochastic volatility with cross leverage (Q1659124) (← links)
- An integral representation of elasticity and sensitivity for stochastic volatility models (Q1744204) (← links)
- On asymmetric generalised t stochastic volatility models (Q1761658) (← links)
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (Q1927096) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (Q2000331) (← links)
- An alternative form used to calibrate the Heston option pricing model (Q2007219) (← links)
- Incorporating realized quarticity into a realized stochastic volatility model (Q2011046) (← links)
- A Bayesian robust chi-squared test for testing simple hypotheses (Q2024459) (← links)
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
- Posterior-based Wald-type statistics for hypothesis testing (Q2155308) (← links)
- Deviance information criterion for latent variable models and misspecified models (Q2173191) (← links)
- Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects (Q2227069) (← links)
- Estimation of the stochastic leverage effect using the Fourier transform method (Q2274297) (← links)
- Modeling financial time series based on a market microstructure model with leverage effect (Q2314707) (← links)
- The tail empirical process for long memory stochastic volatility models with leverage (Q2326064) (← links)
