scientific article; zbMATH DE number 7387627

DOI10.11329/JJSSJ.50.403MaRDI QIDQ5011566FDOQ5011566

Jouchi Nakajima

Publication date: 27 August 2021

Title of this publication is not available (Why is that?)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Generalized autoregressive conditional heteroscedasticity
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
• On leverage in a stochastic volatility model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Likelihood analysis of non-Gaussian measurement time series
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Model uncertainty
• Parsimonious Covariance Matrix Estimation for Longitudinal Data
• Analysis of high dimensional multivariate stochastic volatility models
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Factor stochastic volatility with time varying loadings and Markov switching regimes
• The Wishart autoregressive process of multivariate stochastic volatility
• Bayesian stochastic search for VAR model restrictions
• Multivariate Stochastic Volatility
• Multivariate Stochastic Volatility: A Review
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
• Bayesian analysis of multivariate stochastic volatility with skew return distribution
• Matrix exponential stochastic volatility with cross leverage
• Skew selection for factor stochastic volatility models

Cited In (3)

• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
• Stochastic Volatility Model with Time‐dependent Skew
• On improved volatility modelling by fitting skewness in ARCH models

Uses Software

• bvarsv

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5011566)