Local scale models. State space alternative to integraded GARCH processes
From MaRDI portal
(Redirected from Publication:1318993)
Cites work
- ARCH models as diffusion approximations
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian forecasting and dynamic models
- Common Persistence in Conditional Variances
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Gamma processes
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3426675 (Why is no real title available?)
- scientific article; zbMATH DE number 3954119 (Why is no real title available?)
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3576395 (Why is no real title available?)
- scientific article; zbMATH DE number 469123 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Invariant Conditional Distributions
- Modelling the persistence of conditional variances
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Optimal Properties of Exponentially Weighted Forecasts
- Pricing foreign currency options with stochastic volatility
- Smoothing and Interpolation with the State-Space Model
Cited in
(26)- Particle filtering approximations for a Gaussian-generalized inverse Gaussian model
- A Gaussian-generalized inverse Gaussian finite-dimensional filter.
- Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises
- Asymptotic filtering theory for multivariate ARCH models
- A new filtering inference procedure for a GED state-space volatility model
- Modeling volatility using state space models with heavy tailed distributions
- Power-weighted densities for time series data
- Pairwise Likelihood Inference for General State Space Models
- Bayesian analysis of stochastic volatility models with flexible tails
- Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
- Weak convergence and distributional assumptions for a general class of nonliner arch models
- Real-time covariance estimation for the local level model
- Time-varying vector autoregressive models with stochastic volatility
- A non-Gaussian family of state-space models with exact marginal likelihood
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
- scientific article; zbMATH DE number 7750679 (Why is no real title available?)
- A simple Bayesian state-space approach to the collective risk models
- Inference of dynamic generalized linear models: on-line computation and appraisal
- A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
- A Stochastic Volatility Model With Realized Measures for Option Pricing
- Exact likelihood for inverse gamma stochastic volatility models
- Estimation of nonlinear DSGE models through Laplace based solutions
- Bayesian estimation of an extended local scale stochastic volatility model
- A tractable state-space model for symmetric positive-definite matrices
- Hellinger distance and non-informative priors
This page was built for publication: Local scale models. State space alternative to integraded GARCH processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1318993)
