Recommendations
- Semiparametric multivariate volatility models
- A semiparametric model of estimating volatility of diffusion processes
- Bayesian semiparametric stochastic volatility modeling
- Semiparametric score driven volatility models
- Semiparametric modeling of implied volatility.
- Semiparametric stochastic volatility modelling using penalized splines
- scientific article; zbMATH DE number 2065158
- Nonparametric estimation of stochastic volatility models
- Parameter estimation in stochastic volatility models
- scientific article; zbMATH DE number 6521211
Cites work
- scientific article; zbMATH DE number 3189754 (Why is no real title available?)
- ARCH models as diffusion approximations
- Asymmetric Multivariate Stochastic Volatility
- Asymptotic nonequivalence of GARCH models and diffusions
- BUGS for a Bayesian analysis of stochastic volatility models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Consistency of the maximum likelihood estimator for general hidden Markov models
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Efficient high-dimensional importance sampling
- Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
- Likelihood analysis of non-Gaussian measurement time series
- Marginal Likelihood from the Gibbs Output
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- On leverage in a stochastic volatility model
- Semiparametric Estimator of Time Series Conditional Variance
- Semiparametric Regression
- Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
- Simulation Run Length Control in the Presence of an Initial Transient
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic volatility with leverage: fast and efficient likelihood inference
- THE GARCH OPTION PRICING MODEL
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- The Calculation of Posterior Distributions by Data Augmentation
- The Distribution of Realized Exchange Rate Volatility
- The structure of dynamic correlations in multivariate stochastic volatility models
- Time-varying leverage effects
- Volume, volatility, and leverage: A dynamic analysis
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
- Maximum likelihood estimation of partially observed diffusion models
- A Stochastic Volatility Model With a General Leverage Specification
- A Stochastic Volatility Alternative to SABR
- A triple-threshold leverage stochastic volatility model
- Horizon-unbiased investment with ambiguity
- Data cloning estimation for asymmetric stochastic volatility models
- 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
This page was built for publication: A semiparametric stochastic volatility model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738174)
