Pages that link to "Item:Q961427"
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The following pages link to Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427):
Displayed 15 items.
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439) (← links)
- A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect (Q961822) (← links)
- Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
- Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258) (← links)
- An extension of stochastic volatility model with mixed frequency information (Q1673463) (← links)
- On marginal likelihood computation in change-point models (Q1927122) (← links)
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (Q1927147) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
- A Bayesian semiparametric model for volatility with a leverage effect (Q2361227) (← links)
- Periodic autoregressive stochastic volatility (Q2412761) (← links)
- Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations (Q2445719) (← links)
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions (Q2445744) (← links)
- Bayesian testing volatility persistence in stochastic volatility models with jumps (Q5245900) (← links)
- Implicit Estimation for the Stochastic Volatility Model (Q5419350) (← links)