Bayesian nonparametric modelling of stochastic volatility
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Cites work
- A Bayesian analysis of some nonparametric problems
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- A Tale of Two Time Scales
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- Bayesian semiparametric Markov switching stochastic volatility model
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- Bayesian semiparametric multivariate GARCH modeling
- Bayesian semiparametric stochastic volatility modeling
- Clustering consistency with Dirichlet process mixtures
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 774881 (Why is no real title available?)
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
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- Modeling and Forecasting Realized Volatility
- Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
- Out of sample forecasts of quadratic variation
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- Sampling the Dirichlet Mixture Model with Slices
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Slice sampling mixture models
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The Distribution of Realized Exchange Rate Volatility
- Theory and inference for a Markov switching GARCH model
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