Multivariate Stochastic Variance Models
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Publication:4301276
DOI10.2307/2297980zbMATH Open0805.90026OpenAlexW2153155589MaRDI QIDQ4301276FDOQ4301276
Authors:
Publication date: 21 July 1994
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/4783
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- Bayesian analysis of stochastic volatility models with flexible tails
- Signal Extraction Problems in Seismology
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- Forecasting multivariate realized stock market volatility
- A general framework for predicting returns from multiple currency investments
- Multivariate Stochastic Volatility Models with Correlated Errors
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- Maximum likelihood estimation of a latent variable time-series model
- Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
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- Testing for a slowly changing level with special reference to stochastic volatility
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- Simulated likelihood inference for stochastic volatility models using continuous particle filtering
- Fast estimation methods for time-series models in state–space form
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- Maximum likelihood estimation of partially observed diffusion models
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