scientific article; zbMATH DE number 5769397
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Publication:3580294
zbMATH Open1192.62200MaRDI QIDQ3580294FDOQ3580294
Authors: Mike K. P. So 
Publication date: 12 August 2010
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Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cited In (24)
- Sequential Monte Carlo for fractional stochastic volatility models
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Realized stochastic volatility with leverage and long memory
- Stochastic Volatility Models with Long Memory
- Gaussian inference on certain long-range dependent volatility models
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- Econometric estimation in long-range dependent volatility models: theory and practice
- VaR prediction under long memory in volatility
- Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
- On the long-run volatility of stocks
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Sample quantile analysis for long-memory stochastic volatility models
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- Long memory stochastic volatility : A bayesian approach
- Long-range dependence in mean and volatility: models, estimation and forecasting
- LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH
- Estimation and forecasting of long memory stochastic volatility models
- Long memory and asymmetry for matrix-exponential dynamic correlation processes
- Bayesian estimation of long memory models and its application to exchange rates
- Estimation of stochastic volatility with LRD
- Markov chain Monte Carlo methods for Bayesian long memory stochastic volatility models
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
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