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(only showing first 100 items - show all)- On weighting of bivariate margins in pairwise likelihood
- 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
- Deciding between GARCH and stochastic volatility via strong decision rules
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- A general framework for predicting returns from multiple currency investments
- Sparse Bayesian time-varying covariance estimation in many dimensions
- 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
- GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
- Detecting shocks: Outliers and breaks in time series
- Estimation of stochastic volatility models with diagnostics
- The detection and estimation of long memory in stochastic volatility
- Finite sample properties of the ARCH class of models with stochastic volatility
- Spectral GMM estimation of continuous-time processes
- 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
- Shifts in volatility driven by large stock market shocks
- The split-SV model
- Generalized dynamic factor models and volatilities: estimation and forecasting
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Gaussian variational approximation with sparse precision matrices
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- On asymmetric generalised t stochastic volatility models
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- Financial econometrics -- a new discipline with new methods. (With comments)
- Markov chain Monte Carlo methods for stochastic volatility models.
- Statistical inference for time-inhomogeneous volatility models.
- Asymptotic filtering theory for multivariate ARCH models
- 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
- Simple estimators and inference for higher-order stochastic volatility models
- Time-delayed stochastic volatility model
- Fast and accurate variational inference for large Bayesian VARs with stochastic volatility
- Parsimony inducing priors for large scale state-space models
- A new filtering inference procedure for a GED state-space volatility model
- Stochastic dominance tests
- Dynamic tail inference with log-Laplace volatility
- SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
- Modeling volatility using state space models with heavy tailed distributions
- On fiscal and monetary policy-induced macroeconomic volatility dynamics
- Realized stochastic volatility with general asymmetry and long memory
- A non-iterative (trivial) method for posterior inference in stochastic volatility models
- Periodic autoregressive stochastic volatility
- Editorial: Dynamic factor models
- Temporal aggregation of volatility models
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- On geometric ergodicity of skewed-SVCHARME models
- Spurious persistence in stochastic volatility
- Sequential monitoring of minimum variance portfolio
- Estimation and prediction of a non-constant volatility
- Multivariate stochastic volatility with Bayesian dynamic linear models
- Model specification test with correlated but not cointegrated variables
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
- On the use of non-linear transformations in stochastic volatility models
- Testing normality: a GMM approach
- Whittle estimation of EGARCH and other exponential volatility models
- Long memory and regime switching in the stochastic volatility modelling
- Scalable inference for a full multivariate stochastic volatility model
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Supplementary variable technique in stochastic models
- Maximum likelihood estimation of a latent variable time-series model
- 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
- Analysis of high dimensional multivariate stochastic volatility models
- Computation of volatility in stochastic volatility models with high frequency data
- Parallel tempering for dynamic generalized linear models
- A goodness-of-fit test for ARCH() models
- An unbiased autoregressive conditional intraday seasonal variance filtering process
- Volatility comovement: a multifrequency approach
- Regime switching for dynamic correlations
- A flexible state space model and its applications
- Sequential Monte Carlo methods for stochastic volatility models: a review
- Estimation of a semiparametric IGARCH(1,1) model
- The Wishart autoregressive process of multivariate stochastic volatility
- The structure of dynamic correlations in multivariate stochastic volatility models
- Bootstrap prediction intervals in state-space models
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility 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
- Forecast Evaluation in the Presence of Unobserved Volatility
- Multivariate stochastic volatility, leverage and news impact surfaces
- Multivariate Stochastic Dominance and Moments
- Multivariate stochastic variance models
- Signal extraction in long memory stochastic volatility
- Stochastic Variance Models in Discrete Time with Feedforward Neural Networks
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
- Fast estimation methods for time-series models in state–space form
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- Stochastic Volatility: Origins and Overview
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
- Bayesian analysis of stochastic volatility models with flexible tails
- Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
- scientific article; zbMATH DE number 177885 (Why is no real title available?)
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