Multivariate Stochastic Variance Models
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Publication:4301276
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(only showing first 100 items - show all)- Statistical inference for time-inhomogeneous volatility models.
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Bayesian semiparametric stochastic volatility modeling
- Dynamic factor multivariate GARCH model
- Multivariate Wishart stochastic volatility and changes in regime
- Multivariate stochastic volatility, leverage and news impact surfaces
- Shifts in volatility driven by large stock market shocks
- Stochastic dominance tests
- Regime switching for dynamic correlations
- Volatility comovement: a multifrequency approach
- High‐dimensional sparse multivariate stochastic volatility models
- Multivariate modelling of the autoregressive random variance process
- Spectral GMM estimation of continuous-time processes
- Filtering a nonlinear stochastic volatility model
- Weak convergence and distributional assumptions for a general class of nonliner arch models
- The Wishart autoregressive process of multivariate stochastic volatility
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- A goodness-of-fit test for ARCH(\(\infty\)) models
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- Estimation of stochastic volatility models with diagnostics
- The detection and estimation of long memory in stochastic volatility
- Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- A goodness-of-fit test for ARCH(\(\infty\)) models
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks
- Goodness-of-fit test for stochastic volatility models
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Linear‐representation Based Estimation of Stochastic Volatility Models
- Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
- On generalised asymmetric stochastic volatility models
- Supplementary variable technique in stochastic models
- On weighting of bivariate margins in pairwise likelihood
- Factor stochastic volatility with time varying loadings and Markov switching regimes
- Non-parametric estimation of historical volatility
- Analysis of high dimensional multivariate stochastic volatility models
- Sparse Bayesian time-varying covariance estimation in many dimensions
- Long memory with stochastic variance model: a recursive analysis for US inflation
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
- Financial econometrics -- a new discipline with new methods. (With comments)
- Comparison of asymmetric stochastic volatility models under different correlation structures
- Bootstrap prediction intervals in state-space models
- Continuous Time Wishart Process for Stochastic Risk
- Parameterisation and efficient MCMC estimation of non-Gaussian state space 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
- Bayesian portfolio selection with multi-variate random variance models
- Temporal aggregation of volatility models
- On the use of non-linear transformations in stochastic volatility models
- The structure of dynamic correlations in multivariate stochastic volatility models
- On asymmetric generalised t stochastic volatility models
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Bootstrap LR tests of stationarity, common trends and cointegration
- Surveillance of the covariance matrix of multivariate nonlinear time series
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Bootstrap prediction for returns and volatilities in GARCH models
- Asymmetric Multivariate Stochastic Volatility
- GLM-methods for volatility models
- A full-factor multivariate GARCH model
- The conditional autoregressive Wishart model for multivariate stock market volatility
- Parsimony inducing priors for large scale state-space models
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Double Hierarchical Generalized Linear Models (With Discussion)
- Multivariate Stochastic Volatility: A Review
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- Efficient Bayesian inference for stochastic time-varying copula models
- Factor Multivariate Stochastic Volatility via Wishart Processes
- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
- Stochastic Volatility: Origins and Overview
- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
- Testing normality: a GMM approach
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- The hierarchical-likelihood approach to autoregressive stochastic volatility models
- Finite sample properties of a QML estimator of stochastic volatility models with long memory.
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- Markov chain Monte Carlo methods for stochastic volatility models.
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Diagnostic checking for the adequacy of nonlinear time series models
- Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
- Simulated minimum Hellinger distance estimation of stochastic volatility models
- Portfolio single index (PSI) multivariate conditional and stochastic volatility models
- Detecting shocks: Outliers and breaks in time series
- GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
- scientific article; zbMATH DE number 177885 (Why is no real title available?)
- Maximum likelihood estimation of partially observed diffusion models
- Sequential monitoring of minimum variance portfolio
- Parametric and nonparametric models and methods in financial econometrics
- Fast estimation methods for time-series models in state–space form
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Sample quantile analysis for long-memory stochastic volatility models
- Deciding between GARCH and stochastic volatility via strong decision rules
- A non-iterative (trivial) method for posterior inference in stochastic volatility models
- Estimation of a semiparametric IGARCH(1,1) model
- Computation of volatility in stochastic volatility models with high frequency data
- Asymptotic filtering theory for multivariate ARCH models
- Relative forecasting performance of volatility models: Monte Carlo evidence
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