Pages that link to "Item:Q4219769"
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The following pages link to Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (Q4219769):
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)
- A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model (Q135452) (← links)
- Lookahead strategies for sequential Monte Carlo (Q254340) (← links)
- On particle methods for parameter estimation in state-space models (Q254462) (← links)
- Testing normality: a GMM approach (Q261889) (← links)
- On leverage in a stochastic volatility model (Q262831) (← links)
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors (Q274912) (← links)
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
- Smoothly mixing regressions (Q277172) (← links)
- Matrix exponential GARCH (Q278044) (← links)
- Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- Bayesian identification, selection and estimation of semiparametric functions in high-dimensional additive models (Q291119) (← links)
- Consistent ranking of volatility models (Q292007) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Regime switching for dynamic correlations (Q292034) (← links)
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
- The structure of dynamic correlations in multivariate stochastic volatility models (Q302187) (← links)
- The leverage effect puzzle: the case of European sovereign credit default swap market (Q345723) (← links)
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution (Q378917) (← links)
- Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions (Q425687) (← links)
- On generalised asymmetric stochastic volatility models (Q429633) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- Testing for unit roots in time series models with non-stationary volatility (Q451288) (← links)
- Simulation smoothing for state-space models: a computational efficiency analysis (Q452558) (← links)
- The hierarchical-likelihood approach to autoregressive stochastic volatility models (Q452568) (← links)
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702) (← links)
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
- Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter (Q528088) (← links)
- Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
- Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling (Q529772) (← links)
- Time varying VARs with inequality restrictions (Q545190) (← links)
- The role of additional information in option pricing: estimation issues for the state space model (Q604920) (← links)
- Bayesian analysis of structural credit risk models with microstructure noises (Q609830) (← links)
- Individualism in plant populations: using stochastic differential equations to model individual neighbourhood-dependent plant growth (Q615505) (← links)
- Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach (Q629128) (← links)
- An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models (Q630100) (← links)
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes (Q4665852) (← links)
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models (Q4677047) (← links)
- A Note on Efficient Fitting of Stochastic Volatility Models (Q4997694) (← links)
- (Q5011566) (← links)
- TIME‐VARYING VOLATILITY, DEFAULT, AND THE SOVEREIGN RISK PREMIUM (Q5224963) (← links)
- Bayesian modeling of financial returns: A relationship between volatility and trading volume (Q5391301) (← links)
- A NON‐GAUSSIAN FAMILY OF STATE‐SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD (Q5408111) (← links)
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models (Q5430505) (← links)
- Linear‐representation Based Estimation of Stochastic Volatility Models (Q5430621) (← links)
- Testing for EGARCH Against Stochastic Volatility Models (Q5467599) (← links)
