Pages that link to "Item:Q451250"

The following pages link to Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250):

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 multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
• The structure of dynamic correlations in multivariate stochastic volatility models (Q302187) (← links)
• Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702) (← links)
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263) (← links)
• The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
• Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach (Q629128) (← 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)
• Particle filters for continuous likelihood evaluation and maximisation (Q738078) (← links)
• A semiparametric stochastic volatility model (Q738174) (← links)
• On conditional variance estimation in nonparametric regression (Q746272) (← links)
• High dimensional dynamic stochastic copula models (Q888326) (← links)
• Efficient MCMC sampling in dynamic mixture models (Q892446) (← links)
• Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427) (← links)
• Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439) (← links)
• Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
• Auxiliary mixture sampling with applications to logistic models (Q1019983) (← links)
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models (Q1023620) (← links)
• Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling (Q1023812) (← links)
• Testing for jumps in the stochastic volatility models (Q1025341) (← links)
• A dynamic linear model with extended skew-normal for the initial distribution of the state parameter (Q1623448) (← links)
• Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
• A flexible and automated likelihood based framework for inference in stochastic volatility models (Q1623560) (← links)
• A generalised stochastic volatility in mean VAR (Q1626966) (← links)
• Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258) (← links)
• Testing for time variation in an unobserved components model for the U.S. economy (Q1655731) (← links)
• Shifts in volatility driven by large stock market shocks (Q1657558) (← links)
• Matrix exponential stochastic volatility with cross leverage (Q1659124) (← links)
• Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (Q1927096) (← links)
• Generalized extreme value distribution with time-dependence using the AR and MA models in state space form (Q1927108) (← links)
• Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (Q1927147) (← links)
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
• Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (Q2000331) (← links)
• A flexible mixed-frequency vector autoregression with a steady-state prior (Q2019871) (← links)
• A Bayesian robust chi-squared test for testing simple hypotheses (Q2024459) (← links)
• Dynamic regression models for time-ordered functional data (Q2057327) (← links)
• Parametric estimation of hidden Markov models by least squares type estimation and deconvolution (Q2093141) (← links)
• A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks (Q2106870) (← links)
• A new filtering inference procedure for a GED state-space volatility model (Q2156805) (← links)
• Sequential Bayesian inference for vector autoregressions with stochastic volatility (Q2181522) (← links)
• Horizon-unbiased investment with ambiguity (Q2191465) (← links)
• Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets (Q2228675) (← links)
• A fast and efficient Markov chain Monte Carlo method for market microstructure model (Q2244387) (← links)
• Modeling financial time series based on a market microstructure model with leverage effect (Q2314707) (← links)
• Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach (Q2343097) (← links)
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods (Q2354744) (← links)
• A Bayesian semiparametric model for volatility with a leverage effect (Q2361227) (← links)