Multivariate Stochastic Variance Models
From MaRDI portal
Publication:4301276
Recommendations
Cited in
(only showing first 100 items - show all)- Bayesian semiparametric multivariate stochastic volatility with application
- On the use of non-linear transformations in stochastic volatility models
- Generalized dynamic linear models for financial time series
- Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U. S., Germany and Japan
- On filtering and estimation of a threshold stochastic volatility model
- Markov chain Monte Carlo methods for stochastic volatility models.
- Anticipating extreme losses using score-driven shape filters
- Statistical inference for time-inhomogeneous volatility models.
- Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
- Simulation-based estimation methods for financial time series models
- Testing normality: a GMM approach
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- A multivariate threshold stochastic volatility model
- Global stochastic properties of dynamic models and their linear approximations
- Non-parametric estimation of conditional tail expectation for long-horizon returns
- Finite sample properties of the ARCH class of models with stochastic volatility
- The Wishart autoregressive process of multivariate stochastic volatility
- Demand forecasting of perishable farm products using support vector machine
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Computation of volatility in stochastic volatility models with high frequency data
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- GMC/GEL estimation of stochastic volatility models
- A flexible state space model and its applications
- Bayesian analysis of stochastic volatility models with flexible tails
- Stochastic Volatility: Origins and Overview
- Inferences in stochastic volatility models: a new simpler way
- Surveillance of the covariance matrix of multivariate nonlinear time series
- Signal Extraction Problems in Seismology
- Multivariate Stochastic Dominance and Moments
- Spurious persistence in stochastic volatility
- Continuous Time Wishart Process for Stochastic Risk
- Long memory with stochastic variance model: a recursive analysis for US inflation
- scientific article; zbMATH DE number 7578230 (Why is no real title available?)
- On geometric ergodicity of skewed-SVCHARME models
- Parsimony inducing priors for large scale state-space models
- Bootstrap LR tests of stationarity, common trends and cointegration
- Reversed particle filtering for hidden Markov models
- Bayesian semiparametric Markov switching stochastic volatility model
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- Arc length asymptotics for multivariate time series
- Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
- Double Hierarchical Generalized Linear Models (With Discussion)
- On regression-based tests for persistence in logarithmic volatility models
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test
- Comparison of asymmetric stochastic volatility models under different correlation structures
- Asymptotic filtering theory for multivariate ARCH models
- Asymmetric Multivariate Stochastic Volatility
- When long memory meets the Kalman filter: a comparative study
- Multivariate modelling of the autoregressive random variance process
- On a buffered threshold autoregressive stochastic volatility model
- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
- Stochastic filtering methods in electronic trading
- Forecasting and trading high frequency volatility on large indices
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- On asymmetric generalised t stochastic volatility models
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- A goodness-of-fit test for ARCH() models
- Detecting shocks: Outliers and breaks in time series
- Long memory and regime switching in the stochastic volatility modelling
- Estimation and prediction of a non-constant volatility
- Linear‐representation Based Estimation of Stochastic Volatility Models
- Estimation of stochastic volatility models with diagnostics
- The detection and estimation of long memory in stochastic volatility
- Volatility spillover effect on nonlinear causality tests
- Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
- A GMM approach to estimate the roughness of stochastic volatility
- Multivariate Stochastic Volatility: A Review
- scientific article; zbMATH DE number 177885 (Why is no real title available?)
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- Finite sample properties of a QML estimator of stochastic volatility models with long memory.
- A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
- Weak convergence and distributional assumptions for a general class of nonliner arch models
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- Regime switching for dynamic correlations
- Volatility comovement: a multifrequency approach
- Filtering a nonlinear stochastic volatility model
- Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- A full-factor multivariate GARCH model
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Forecasting multivariate realized stock market volatility
- On periodic autoregressive stochastic volatility models: structure and estimation
- A goodness-of-fit test for ARCH(\(\infty\)) models
- GLM-methods for volatility models
- A general framework for predicting returns from multiple currency investments
- Realized stochastic volatility with general asymmetry and long memory
- On fiscal and monetary policy-induced macroeconomic volatility dynamics
- Inducing normality from non-Gaussian long memory time series and its application to stock return data
- Iterative QML estimation for asymmetric stochastic volatility models
- Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
- Efficient data augmentation techniques for some classes of state space models
- The structure of dynamic correlations in multivariate stochastic volatility models
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
- High‐dimensional sparse multivariate stochastic volatility models
This page was built for publication: Multivariate Stochastic Variance Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4301276)
