Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
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Cites work
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Estimating time series models for count data using efficient importance sampling
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- scientific article; zbMATH DE number 3357742 (Why is no real title available?)
- Likelihood analysis of non-Gaussian measurement time series
- Markov chains for exploring posterior distributions. (With discussion)
- Monte Carlo EM Estimation for Time Series Models Involving Counts
- Multivariate Stochastic Variance Models
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Cited in
(24)- Time series of count data: Modeling, estimation and diagnostics
- Sparse Bayesian time-varying covariance estimation in many dimensions
- A flexible and automated likelihood based framework for inference in stochastic volatility models
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks
- Climate uncertainty and carbon emissions prices: the relative roles of transition and physical climate risks
- Multivariate stochastic volatility with Bayesian dynamic linear models
- A triple-threshold leverage stochastic volatility model
- Efficient high-dimensional importance sampling
- Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
- Simulation-based estimation methods for financial time series models
- Maximum likelihood estimation of partially observed diffusion models
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell
- Probabilistic forecasts of volatility and its risk premia
- A new approach to importance sampling in Taylor's stochastic volatility model
- Multivariate Stochastic Volatility: A Review
- Particle learning for Bayesian semi-parametric stochastic volatility model
- Dynamic correlation multivariate stochastic volatility with latent factors
- Bayesian semiparametric Markov switching stochastic volatility model
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- American option pricing under GARCH diffusion model: an empirical study
- Particle efficient importance sampling
- Improving MCMC, using efficient importance sampling
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