Pages that link to "Item:Q1372927"
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The following pages link to Estimation of stochastic volatility models with diagnostics (Q1372927):
Displayed 50 items.
- On the use of non-linear transformations in stochastic volatility models (Q257523) (← 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)
- Indirect inference and calibration of dynamic stochastic general equilibrium models (Q278265) (← links)
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models (Q302189) (← links)
- On generalised asymmetric stochastic volatility models (Q429633) (← links)
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702) (← links)
- Nonparametric specification tests for stochastic volatility models based on volatility density (Q494406) (← links)
- Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (Q899508) (← 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)
- Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (Q1298478) (← links)
- The relative efficiency of method of moments estimators (Q1302762) (← links)
- Alternative models for stock price dynamics. (Q1398979) (← links)
- Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
- Modeling long memory in stock market volatility (Q1588307) (← links)
- Solving asset pricing models with stochastic volatility (Q1624055) (← links)
- Notes on financial econometrics (Q1841088) (← links)
- Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (Q1927096) (← links)
- Simple estimators and inference for higher-order stochastic volatility models (Q2043263) (← links)
- Contemporaneous statistics for estimation in stochastic actor-oriented co-evolution models (Q2177743) (← links)
- A fast and efficient Markov chain Monte Carlo method for market microstructure model (Q2244387) (← links)
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators (Q2312951) (← links)
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
- On the existence of strongly consistent indirect estimators when the binding function is compact valued (Q2337044) (← links)
- Semiparametric stochastic volatility modelling using penalized splines (Q2354745) (← links)
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations (Q2439048) (← links)
- A unified approach to validating univariate and multivariate conditional distribution models in time series (Q2512595) (← links)
- ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING (Q2826006) (← links)
- Shrinkage Empirical Likelihood Estimator in Longitudinal Analysis with Time‐Dependent Covariates—Application to Modeling the Health of Filipino Children (Q2861948) (← links)
- How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used (Q2879030) (← links)
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models (Q3087583) (← links)
- TESTING FOR THE MARKOV PROPERTY IN TIME SERIES (Q3224040) (← links)
- Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form (Q3406052) (← links)
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS (Q3523558) (← links)
- Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model (Q4416012) (← links)
- EFFICIENT METHOD OF MOMENTS IN MISSPECIFIED I.I.D. MODELS (Q4653560) (← links)
- Predicting crypto‐currencies using sparse non‐Gaussian state space models (Q4687677) (← links)
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (Q4817431) (← links)
- Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models (Q4828200) (← links)
- Stochastic Volatility Models Predictive Relevance for Equity Markets (Q5048338) (← links)
- Particle learning for Bayesian semi-parametric stochastic volatility model (Q5860957) (← links)
- Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model (Q5864358) (← links)
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models (Q5931142) (← links)
- Evidence of Markov properties of high frequency exchange rate data (Q5942416) (← links)