Pages that link to "Item:Q1867723"
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The following pages link to Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723):
Displaying 50 items.
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models (Q70784) (← links)
- Bayesian estimation and stochastic model specification search for dynamic survival models (Q89523) (← links)
- Error analysis for numerical formulation of particle filter (Q256820) (← links)
- On the use of non-linear transformations in stochastic volatility models (Q257523) (← links)
- On leverage in a stochastic volatility model (Q262831) (← links)
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
- Volatility comovement: a multifrequency approach (Q292013) (← links)
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models (Q302189) (← links)
- A new heterogeneous multidimensional unfolding procedure (Q418407) (← links)
- On generalised asymmetric stochastic volatility models (Q429633) (← links)
- Stochastic volatility in mean models with heavy-tailed distributions (Q447982) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702) (← links)
- A hierarchical Bayesian multidimensional scaling methodology for accommodating both structural and preference heterogeneity (Q477959) (← links)
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
- The role of additional information in option pricing: estimation issues for the state space model (Q604920) (← links)
- A MIDAS approach to modeling first and second moment dynamics (Q726588) (← links)
- Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach (Q734405) (← links)
- Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
- Bayesian estimation of an extended local scale stochastic volatility model (Q737916) (← links)
- Bayesian hypothesis testing in latent variable models (Q738117) (← links)
- Comparison of MCMC methods for estimating stochastic volatility models (Q816059) (← links)
- High dimensional dynamic stochastic copula models (Q888326) (← links)
- A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
- Adaptive priors based on splines with random knots (Q899059) (← links)
- Hellinger distance and non-informative priors (Q899064) (← links)
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (Q899508) (← links)
- Comparing stochastic volatility models through Monte Carlo simulations (Q959262) (← links)
- Iterated importance sampling in missing data problems (Q959418) (← links)
- Improving MCMC, using efficient importance sampling (Q961112) (← links)
- Indirect estimation of \(\alpha \)-stable stochastic volatility models (Q961424) (← links)
- Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Auxiliary mixture sampling with applications to logistic models (Q1019983) (← links)
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling (Q1023812) (← links)
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions (Q1025340) (← links)
- Testing for jumps in the stochastic volatility models (Q1025341) (← links)
- Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258) (← links)
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox (Q1695672) (← links)
- Estimation and asymptotic covariance matrix for stochastic volatility models (Q1697869) (← links)
- Endogenous bank risk and efficiency (Q1753448) (← links)
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods (Q1757658) (← links)
- On asymmetric generalised t stochastic volatility models (Q1761658) (← links)
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime (Q1766135) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
