Multivariate Stochastic Variance Models
From MaRDI portal
Publication:4301276
DOI10.2307/2297980zbMath0805.90026OpenAlexW2153155589MaRDI QIDQ4301276
No author found.
Publication date: 21 July 1994
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/4783
Related Items
Bayesian portfolio selection with multi-variate random variance models, Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models, Analysis of high dimensional multivariate stochastic volatility models, Statistical inference for time-inhomogeneous volatility models., Multivariate Wishart stochastic volatility and changes in regime, Long memory with stochastic variance model: a recursive analysis for US inflation, When long memory meets the Kalman filter: a comparative study, Dynamic factor multivariate GARCH model, A flexible and automated likelihood based framework for inference in stochastic volatility models, A goodness-of-fit test for ARCH(\(\infty\)) models, Volatility comovement: a multifrequency approach, Regime switching for dynamic correlations, The Wishart autoregressive process of multivariate stochastic volatility, The structure of dynamic correlations in multivariate stochastic volatility models, Parsimony inducing priors for large scale state-space models, GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994), A new filtering inference procedure for a GED state-space volatility model, Shifts in volatility driven by large stock market shocks, The split-SV model, Realized stochastic volatility with general asymmetry and long memory, Detecting shocks: Outliers and breaks in time series, Estimation of stochastic volatility models with diagnostics, Asymptotic filtering theory for multivariate ARCH models, The detection and estimation of long memory in stochastic volatility, A non-iterative (trivial) method for posterior inference in stochastic volatility models, Parametric estimation of hidden stochastic model by contrast minimization and deconvolution, Fractionally integrated generalized autoregressive conditional heteroskedasticity, Stochastic dominance tests, Generalized dynamic factor models and volatilities: estimation and forecasting, A general framework for predicting returns from multiple currency investments, Periodic autoregressive stochastic volatility, Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling, Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes, Linear filtering for asymmetric stochastic volatility models, Finite sample properties of the ARCH class of models with stochastic volatility, Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance, Sample quantile analysis for long-memory stochastic volatility models, Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility, Wild bootstrap tests for unit root in ESTAR models, Particle efficient importance sampling, Dynamic tail inference with log-Laplace volatility, Spectral GMM estimation of continuous-time processes, A tractable state-space model for symmetric positive-definite matrices, Hellinger distance and non-informative priors, A hybrid data cloning maximum likelihood estimator for stochastic volatility models, Estimating the Wishart affine stochastic correlation model using the empirical characteristic function, Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters, On generalised asymmetric stochastic volatility models, Gaussian variational approximation with sparse precision matrices, Efficient Bayesian inference for stochastic time-varying copula models, Filtering a nonlinear stochastic volatility model, Editorial: Dynamic factor models, Temporal aggregation of volatility models, The stochastic conditional duration model: a latent variable model for the analysis of financial durations, Efficient likelihood estimation in state space models, Stochastic volatility with leverage: fast and efficient likelihood inference, The hierarchical-likelihood approach to autoregressive stochastic volatility models, Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures, On geometric ergodicity of skewed-SVCHARME models, Simulated likelihood inference for stochastic volatility models using continuous particle filtering, Maximum likelihood estimation of partially observed diffusion models, Spurious persistence in stochastic volatility, Portfolio single index (PSI) multivariate conditional and stochastic volatility models, SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation, On filtering and estimation of a threshold stochastic volatility model, Modeling volatility using state space models with heavy tailed distributions, Sequential monitoring of minimum variance portfolio, Approaches to forecasting volatility: Models and their performances for emerging equity markets, On fiscal and monetary policy-induced macroeconomic volatility dynamics, Bootstrap prediction for returns and volatilities in GARCH models, A multivariate threshold stochastic volatility model, On some properties of Markov chain Monte Carlo simulation methods based on the particle filter, Indirect estimation of \(\alpha \)-stable stochastic volatility models, Simulated minimum Hellinger distance estimation of stochastic volatility models, Filtering and estimation for a class of stochastic volatility models with intractable likelihoods, Global stochastic properties of dynamic models and their linear approximations, On asymmetric generalised t stochastic volatility models, Parametric and nonparametric models and methods in financial econometrics, Fourier inference for stochastic volatility models with heavy-tailed innovations, Sparse Bayesian time-varying covariance estimation in many dimensions, Long memory in intertrade durations, counts and realized volatility of NYSE stocks, Factor stochastic volatility with time varying loadings and Markov switching regimes, On weighting of bivariate margins in pairwise likelihood, Bayesian semiparametric stochastic volatility modeling, Forecasting multivariate realized stock market volatility, The conditional autoregressive Wishart model for multivariate stock market volatility, Local polynomial Whittle estimation of perturbed fractional processes, Simple estimators and inference for higher-order stochastic volatility models, A class of nonlinear stochastic volatility models and its implications for pricing currency options, Parameterisation and efficient MCMC estimation of non-Gaussian state space models, Time-delayed stochastic volatility model, Deciding between GARCH and stochastic volatility via strong decision rules, Financial econometrics -- a new discipline with new methods. (With comments), Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study, Estimation of stochastic volatility models via Monte Carlo maximum likelihood, Testing for a slowly changing level with special reference to stochastic volatility, Fast and accurate variational inference for large Bayesian VARs with stochastic volatility, Markov chain Monte Carlo methods for stochastic volatility models., On the use of non-linear transformations in stochastic volatility models, Testing normality: a GMM approach, Maximum likelihood estimation of latent Markov models using closed-form approximations, Bayesian prediction of jumps in large panels of time series data, Forecast Evaluation in the Presence of Unobserved Volatility, A new method for sequential learning of states and parameters for state-space models: the particle swarm learning optimization, Multivariate stochastic volatility, leverage and news impact surfaces, An unbiased autoregressive conditional intraday seasonal variance filtering process, Whittle estimation of EGARCH and other exponential volatility models, METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS, LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH, Bootstrap LR tests of stationarity, common trends and cointegration, Long memory stochastic volatility : A bayesian approach, Forecasting and trading high frequency volatility on large indices, SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY, DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS, Surveillance of the covariance matrix of multivariate nonlinear time series, Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System, Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process, Signal Extraction Problems in Seismology, A FLEXIBLE STATE SPACE MODEL AND ITS APPLICATIONS, カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について, Unnamed Item, Stochastic Variance Models in Discrete Time with Feedforward Neural Networks, Stochastic modelling of volatility and inter-relationships in the Australian electricity markets, Long memory and regime switching in the stochastic volatility modelling, Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market, A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test, A GMM approach to estimate the roughness of stochastic volatility, Review of statistical approaches for modeling high-frequency trading data, Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus, Efficient data augmentation techniques for some classes of state space models, Scalable inference for a full multivariate stochastic volatility model, High‐dimensional sparse multivariate stochastic volatility models, Student‐t stochastic volatility model with composite likelihood EM‐algorithm, Asymmetry in stochastic volatility models with threshold and time-dependent correlation, Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19, Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models, Bellman filtering and smoothing for state-space models, GMC/GEL estimation of stochastic volatility models, Goodness–of–Fit Test for Stochastic Volatility Models, ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS, Non-parametric estimation of historical volatility, Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand, Stochastic Filtering Methods in Electronic Trading, Weak convergence and distributional assumptions for a general class of nonliner arch models, Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models, Comparison of asymmetric stochastic volatility models under different correlation structures, Surprise volume and heteroskedasticity in equity market returns, Maximum likelihood estimation of a latent variable time-series model, Generalized dynamic linear models for financial time series, AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY, Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm, Relative forecasting performance of volatility models: Monte Carlo evidence, Testing for Volatility Co-Movement in Bivariate Stochastic Volatility Models, Sequential Monte Carlo methods for stochastic volatility models: a review, Inferences in Stochastic Volatility Models: A New Simpler Way, Estimation and prediction of a non-constant volatility, Multivariate stochastic volatility with Bayesian dynamic linear models, ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL, Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters, Demand forecasting of perishable farm products using support vector machine, Bayesian analysis of stochastic volatility models with flexible tails, Finite sample properties of a QML estimator of stochastic volatility models with long memory., A Note on Non‐Negative Arma Processes, Linear‐representation Based Estimation of Stochastic Volatility Models, On regression-based tests for persistence in logarithmic volatility models, COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA, Double Hierarchical Generalized Linear Models (With Discussion), Unnamed Item, Model specification test with correlated but not cointegrated variables, Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture, VOLATILITY SPILLOVER EFFECT ON NONLINEAR CAUSALITY TESTS, Fast estimation methods for time-series models in state–space form, A goodness-of-fit test for ARCH(\(\infty\)) models, On periodic autoregressive stochastic volatility models: structure and estimation, Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation, Bootstrap prediction intervals in state-space models, Modelling Multivariate Volatilities via Conditionally Uncorrelated Components, GLM-methods for volatility models, A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix, A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models, A full-factor multivariate GARCH model, Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter, Multivariate Stochastic Volatility: A Review, Continuous Time Wishart Process for Stochastic Risk, Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Multivariate Stochastic Volatility Models with Correlated Errors, Factor Multivariate Stochastic Volatility via Wishart Processes, Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models, Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison, Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates, Asymmetric Multivariate Stochastic Volatility, Parallel tempering for dynamic generalized linear models, Inducing normality from non-Gaussian long memory time series and its application to stock return data, Simulation-Based Estimation Methods for Financial Time Series Models, Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA, OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL, Particle learning for Bayesian semi-parametric stochastic volatility model, Bayesian semiparametric multivariate stochastic volatility with application, Data cloning estimation for asymmetric stochastic volatility models, GMM estimation of a realized stochastic volatility model: A Monte Carlo study