On generalised asymmetric stochastic volatility models
From MaRDI portal
(Redirected from Publication:429633)
Recommendations
- On asymmetric generalised t stochastic volatility models
- scientific article; zbMATH DE number 5209814
- Asymmetric Multivariate Stochastic Volatility
- Asymptotic approximations to deterministic and stochastic volatility models
- Comparison of asymmetric stochastic volatility models under different correlation structures
- Realized non-linear stochastic volatility models with asymmetric effects and generalized Student's \(t\)-distributions
- Asymptotics for Rough Stochastic Volatility Models
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Cites work
- scientific article; zbMATH DE number 3930122 (Why is no real title available?)
- scientific article; zbMATH DE number 4058622 (Why is no real title available?)
- scientific article; zbMATH DE number 1911984 (Why is no real title available?)
- scientific article; zbMATH DE number 775283 (Why is no real title available?)
- A skew item response model
- Alternative models for stock price dynamics.
- Autoregressive Conditional Density Estimation
- Bayesian Measures of Model Complexity and Fit
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Estimation and inference for exponential smooth transition nonlinear volatility models
- Estimation of stochastic volatility models with diagnostics
- Generalized autoregressive conditional heteroscedasticity
- Likelihood analysis of non-Gaussian measurement time series
- MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
- Markov chain Monte Carlo methods for stochastic volatility models.
- Modeling and Forecasting Realized Volatility
- Multivariate Stochastic Variance Models
- On leverage in a stochastic volatility model
- On the use of non-linear transformations in stochastic volatility models
- Partial non-Gaussian state space
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
- Testing normality in econometric models
- Tests of Conditional Predictive Ability
- Volatility forecast comparison using imperfect volatility proxies
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
Cited in
(30)- On the use of non-linear transformations in stochastic volatility models
- Non‐trading day effects in asymmetric conditional and stochastic volatility models
- Likelihood-based inference for asymmetric stochastic volatility models
- On geometric ergodicity of skewed-SVCHARME models
- Dynamic Asymmetric Leverage in Stochastic Volatility Models
- An ABC approach for CAViaR models with asymmetric kernels
- Asymmetric Multivariate Stochastic Volatility
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
- On asymmetric generalised t stochastic volatility models
- Realized stochastic volatility with general asymmetry and long memory
- Modeling financial time series based on a market microstructure model with leverage effect
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- Leverage effect for volatility with generalized Laplace error
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
- Econometric analysis of volatile art markets
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- A triple-threshold leverage stochastic volatility model
- Data cloning estimation for asymmetric stochastic volatility models
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
- Asymmetric volatility impulse response functions
- Financial volatility modeling: The feedback asymmetric conditional autoregressive range model
- The split-SV model
- Maximum likelihood estimates for positive valued dynamic score models; the DySco package
- A Bayesian encompassing test using combined value-at-risk estimates
- A quasi-Bayesian model averaging approach for conditional quantile models
- scientific article; zbMATH DE number 5209814 (Why is no real title available?)
- Geometric ergodicity of asymmetric volatility models with stochastic parameters
- Bad environments, good environments: a non-Gaussian asymmetric volatility model
This page was built for publication: On generalised asymmetric stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q429633)
