Markov chain Monte Carlo methods for stochastic volatility models.
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- scientific article; zbMATH DE number 1639859 (Why is no real title available?)
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- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
- scientific article; zbMATH DE number 1390900 (Why is no real title available?)
- scientific article; zbMATH DE number 3189754 (Why is no real title available?)
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- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
- Linear filtering for asymmetric stochastic volatility models
- Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
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- Bayesian semiparametric stochastic volatility modeling
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- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
- Multivariate stochastic volatility, leverage and news impact surfaces
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- Parametric and nonparametric models and methods in financial econometrics
- Bayesian testing for jumps in stochastic volatility models with correlated jumps
- Testing for jumps in the stochastic volatility models
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Stochastic dominance tests
- Volatility comovement: a multifrequency approach
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
- Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
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- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
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- Comparison of MCMC methods for estimating stochastic volatility models
- On leverage in a stochastic volatility model
- Multivariate stochastic volatility with Bayesian dynamic linear models
- A new heterogeneous multidimensional unfolding procedure
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- Empirical Characteristic Function Estimation and Its Applications
- Linear‐representation Based Estimation of Stochastic Volatility Models
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- On generalised asymmetric stochastic volatility models
- Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- Bayesian estimation of an extended local scale stochastic volatility model
- Analysis of high dimensional multivariate stochastic volatility models
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- Bayesian analysis of stochastic volatility models
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Iterated importance sampling in missing data problems
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Bayesian estimation and stochastic model specification search for dynamic survival models
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- The role of additional information in option pricing: estimation issues for the state space model
- Nonparametric filtering of the realized spot volatility: a kernel-based approach
- A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
- Moving average stochastic volatility models with application to inflation forecast
- Error analysis for numerical formulation of particle filter
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
- On the use of non-linear transformations in stochastic volatility models
- On asymmetric generalised t stochastic volatility models
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- Multivariate Stochastic Volatility Models with Correlated Errors
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