Multivariate Stochastic Variance Models
From MaRDI portal
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
Recommendations
Cited In (only showing first 100 items - show all)
- On the use of non-linear transformations in stochastic volatility models
- Markov chain Monte Carlo methods for stochastic volatility models.
- Statistical inference for time-inhomogeneous volatility models.
- Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
- Testing normality: a GMM approach
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- The Wishart autoregressive process of multivariate stochastic volatility
- Surveillance of the covariance matrix of multivariate nonlinear time series
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Stochastic Volatility: Origins and Overview
- Continuous Time Wishart Process for Stochastic Risk
- Long memory with stochastic variance model: a recursive analysis for US inflation
- Bootstrap LR tests of stationarity, common trends and cointegration
- Parsimony inducing priors for large scale state-space models
- Double Hierarchical Generalized Linear Models (With Discussion)
- Comparison of asymmetric stochastic volatility models under different correlation structures
- Asymmetric Multivariate Stochastic Volatility
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- Multivariate modelling of the autoregressive random variance process
- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
- Linear‐representation Based Estimation of Stochastic Volatility Models
- On asymmetric generalised t stochastic volatility models
- Multivariate Stochastic Volatility: A Review
- 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
- Weak convergence and distributional assumptions for a general class of nonliner arch models
- Estimation of stochastic volatility models with diagnostics
- The detection and estimation of long memory in stochastic volatility
- A goodness-of-fit test for ARCH(\(\infty\)) models
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- A full-factor multivariate GARCH model
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Regime switching for dynamic correlations
- Volatility comovement: a multifrequency approach
- A goodness-of-fit test for ARCH(\(\infty\)) models
- Filtering a nonlinear stochastic volatility model
- Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
- GLM-methods for volatility models
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- High‐dimensional sparse multivariate stochastic volatility models
- The structure of dynamic correlations in multivariate stochastic volatility models
- The hierarchical-likelihood approach to autoregressive stochastic volatility models
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
- Simulated minimum Hellinger distance estimation of stochastic volatility models
- Bayesian semiparametric stochastic volatility modeling
- Long memory in intertrade durations, counts and realized volatility of NYSE stocks
- Bayesian portfolio selection with multi-variate random variance models
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Bootstrap prediction for returns and volatilities in GARCH models
- The conditional autoregressive Wishart model for multivariate stock market volatility
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Non-parametric estimation of historical volatility
- Shifts in volatility driven by large stock market shocks
- Sparse Bayesian time-varying covariance estimation in many dimensions
- Financial econometrics -- a new discipline with new methods. (With comments)
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- Diagnostic checking for the adequacy of nonlinear time series models
- Multivariate Wishart stochastic volatility and changes in regime
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- Goodness-of-fit test for stochastic volatility models
- Stochastic dominance tests
- Temporal aggregation of volatility models
- Dynamic factor multivariate GARCH model
- On generalised asymmetric stochastic volatility 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
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Supplementary variable technique in stochastic models
- Multivariate stochastic volatility, leverage and news impact surfaces
- Analysis of high dimensional multivariate stochastic volatility models
- Bootstrap prediction intervals in state-space models
- On weighting of bivariate margins in pairwise likelihood
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Factor Multivariate Stochastic Volatility via Wishart Processes
- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
- Efficient Bayesian inference for stochastic time-varying copula models
- Spectral GMM estimation of continuous-time processes
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Factor stochastic volatility with time varying loadings and Markov switching regimes
- On filtering and estimation of a threshold stochastic volatility model
- Demand forecasting of perishable farm products using support vector machine
- A multivariate threshold stochastic volatility model
- Global stochastic properties of dynamic models and their linear approximations
- Computation of volatility in stochastic volatility models with high frequency data
- A flexible state space model and its applications
- Bayesian analysis of stochastic volatility models with flexible tails
- Signal Extraction Problems in Seismology
- Multivariate Stochastic Dominance and Moments
- Asymptotic filtering theory for multivariate ARCH models
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Estimation and prediction of a non-constant volatility
- A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
- Detecting shocks: Outliers and breaks in time series
- Title not available (Why is that?)
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)
