Application in stochastic volatility models of nonlinear regression with stochastic design
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Publication:5391299
DOI10.1002/asmb.780zbMath1224.91186OpenAlexW4246229494MaRDI QIDQ5391299
Publication date: 6 April 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.780
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Estimation in bivariate nonnormal distributions with stochastic variance functions
- Asymmetric Laplace laws and modeling financial data
- Simulated Likelihood Approximations for Stochastic Volatility Models
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Regression Analysis with a Stochastic Design Variable
- Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
- Estimation and hypothesis testing for a nonnormal bivariate distribution with applications