Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
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Cited in
(29)- Realized stochastic volatility with leverage and long memory
- Bayesian nonparametric learning of how skill is distributed across the mutual fund industry
- Bayesian semiparametric long memory models for discretized event data
- Bayesian semiparametric double autoregressive modeling
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
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- Causal relationships between inflation and inflation uncertainty
- Markov chain Monte Carlo methods for Bayesian long memory stochastic volatility models
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- scientific article; zbMATH DE number 5769397 (Why is no real title available?)
- Stochastic Volatility Models with Long Memory
- Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
- Long memory stochastic volatility : A bayesian approach
- Sequential Monte Carlo for fractional stochastic volatility models
- Comparison of different wavelet techniques for finding change points
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
- Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study
- Particle learning for Bayesian semi-parametric stochastic volatility model
- Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
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