scientific article; zbMATH DE number 5010683

MaRDI QIDQ3374312zbMATH OpenFDO

Authors Torben G. Andersen

Publication date 9 March 2006

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited in

(8)

• Sparse vector heterogeneous autoregressive modeling for realized volatility
• Periodic autoregressive stochastic volatility
• Tail behavior of a threshold autoregressive stochastic volatility model
• Multi-variate stochastic volatility modelling using Wishart autoregressive processes
• The Wishart autoregressive process of multivariate stochastic volatility
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Financial volatility modeling: The feedback asymmetric conditional autoregressive range model
• A Stochastic Volatility Alternative to SABR

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