Pages that link to "Item:Q4301276"

The following pages link to Multivariate Stochastic Variance Models (Q4301276):

Displaying 50 items.

• Sparse Bayesian time-varying covariance estimation in many dimensions (Q117775) (← links)
• On the use of non-linear transformations in stochastic volatility models (Q257523) (← links)
• Testing normality: a GMM approach (Q261889) (← links)
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
• Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
• A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
• Volatility comovement: a multifrequency approach (Q292013) (← links)
• Regime switching for dynamic correlations (Q292034) (← links)
• The Wishart autoregressive process of multivariate stochastic volatility (Q302185) (← links)
• The structure of dynamic correlations in multivariate stochastic volatility models (Q302187) (← links)
• Parametric estimation of hidden stochastic model by contrast minimization and deconvolution (Q378917) (← links)
• Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (Q397924) (← links)
• Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters (Q429620) (← links)
• On generalised asymmetric stochastic volatility models (Q429633) (← links)
• Efficient Bayesian inference for stochastic time-varying copula models (Q434914) (← links)
• Filtering a nonlinear stochastic volatility model (Q437251) (← links)
• Efficient likelihood estimation in state space models (Q449965) (← links)
• Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
• The hierarchical-likelihood approach to autoregressive stochastic volatility models (Q452568) (← links)
• Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702) (← links)
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263) (← links)
• Maximum likelihood estimation of partially observed diffusion models (Q469573) (← links)
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter (Q528088) (← links)
• On filtering and estimation of a threshold stochastic volatility model (Q658656) (← links)
• Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
• Forecasting multivariate realized stock market volatility (Q737267) (← links)
• The conditional autoregressive Wishart model for multivariate stock market volatility (Q738147) (← links)
• Local polynomial Whittle estimation of perturbed fractional processes (Q738169) (← links)
• Bayesian portfolio selection with multi-variate random variance models (Q819095) (← links)
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
• Sample quantile analysis for long-memory stochastic volatility models (Q888329) (← links)
• Wild bootstrap tests for unit root in ESTAR models (Q893021) (← links)
• Particle efficient importance sampling (Q894644) (← links)
• A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
• Hellinger distance and non-informative priors (Q899064) (← links)
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models (Q929684) (← links)
• Approaches to forecasting volatility: Models and their performances for emerging equity markets (Q943161) (← links)
• Bootstrap prediction for returns and volatilities in GARCH models (Q959315) (← links)
• A multivariate threshold stochastic volatility model (Q960327) (← links)
• Indirect estimation of \(\alpha \)-stable stochastic volatility models (Q961424) (← links)
• Simulated minimum Hellinger distance estimation of stochastic volatility models (Q961438) (← links)
• Global stochastic properties of dynamic models and their linear approximations (Q964551) (← links)
• Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
• Long memory in intertrade durations, counts and realized volatility of NYSE stocks (Q993813) (← links)
• Factor stochastic volatility with time varying loadings and Markov switching regimes (Q997296) (← links)
• On weighting of bivariate margins in pairwise likelihood (Q1002349) (← links)
• A class of nonlinear stochastic volatility models and its implications for pricing currency options (Q1010566) (← links)
• Parameterisation and efficient MCMC estimation of non-Gaussian state space models (Q1023621) (← links)
• Deciding between GARCH and stochastic volatility via strong decision rules (Q1044073) (← links)