A semiparametric stochastic volatility model
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Publication:738174
DOI10.1016/J.JECONOM.2011.09.029zbMATH Open1441.62909OpenAlexW2143100759MaRDI QIDQ738174FDOQ738174
Authors: Jun Yu 
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1268
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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Cited In (22)
- Shape-constrained semiparametric additive stochastic volatility models
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models
- Stochastic volatility and stochastic leverage
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- Log-Modulated Rough Stochastic Volatility Models
- Parameter estimation and applications for stochastic volatility model with time-varying leverage effect
- Semiparametric identification of the bid-ask spread in extended Roll models
- On idiosyncratic stochasticity of financial leverage effects
- A Bayesian semiparametric model for volatility with a leverage effect
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
- A Stochastic Volatility Model With a General Leverage Specification
- Maximum likelihood estimation of partially observed diffusion models
- A Stochastic Volatility Alternative to SABR
- Data cloning estimation for asymmetric stochastic volatility models
- A triple-threshold leverage stochastic volatility model
- Horizon-unbiased investment with ambiguity
- The semiparametric asymmetric stochastic volatility model with time-varying parameters: the case of US inflation
- A new approach to Bayesian hypothesis testing
- Multivariate stochastic volatility, leverage and news impact surfaces
- Semiparametric stochastic volatility modelling using penalized splines
- Outliers and misleading leverage effect in asymmetric GARCH-type models
- Time-varying leverage effects
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