The following pages link to (Q5708631):
Displaying 50 items.
- Nonstationary nonlinear heteroskedasticity in regression (Q278499) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- Testing the assumptions behind importance sampling (Q302094) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- A review of copula models for economic time series (Q443763) (← 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)
- Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility (Q470525) (← links)
- A Bayesian chi-squared test for hypothesis testing (Q496143) (← links)
- Estimation of a structural stochastic volatility model of asset pricing (Q540665) (← links)
- Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
- An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models (Q630100) (← links)
- Stable limits for sums of dependent infinite variance random variables (Q718889) (← links)
- High-dimensional copula-based distributions with mixed frequency data (Q726592) (← links)
- Testing for co-integration in vector autoregressions with non-stationary volatility (Q736551) (← links)
- Estimating quadratic variation when quoted prices change by a constant increment (Q737253) (← links)
- Volatility forecast comparison using imperfect volatility proxies (Q737280) (← links)
- Bayesian hypothesis testing in latent variable models (Q738117) (← links)
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment (Q835065) (← links)
- Computable infinite-dimensional filters with applications to discretized diffusion processes (Q855688) (← links)
- A tale of two option markets: pricing kernels and volatility risk (Q894646) (← links)
- A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
- Hellinger distance and non-informative priors (Q899064) (← links)
- Improving MCMC, using efficient importance sampling (Q961112) (← links)
- Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427) (← links)
- Simulated minimum Hellinger distance estimation of stochastic volatility models (Q961438) (← links)
- Nonparametric variance function estimation with missing data (Q962208) (← links)
- Nonparametric density estimation for positive time series (Q962247) (← links)
- What distinguishes individual stocks from the index? (Q977581) (← links)
- Likelihood-based inference for a class of multivariate diffusions with unobserved paths (Q997298) (← links)
- On the applicability of stochastic volatility models (Q1010565) (← links)
- Regular variation and related results for the multivariate GARCH\((p,q)\) model with constant conditional correlations (Q1021853) (← links)
- Long memory with stochastic variance model: a recursive analysis for US inflation (Q1623516) (← links)
- Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
- Semiparametric score driven volatility models (Q1659100) (← links)
- Empirical scaling laws and the aggregation of non-stationary data (Q1673262) (← links)
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods (Q1757658) (← links)
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes (Q1927109) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
- Topological data analysis of financial time series: landscapes of crashes (Q2148680) (← links)
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach (Q2222183) (← links)
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails (Q2325386) (← links)
- An unscented Kalman smoother for volatility extraction: evidence from stock prices and options (Q2361173) (← links)
- A selective overview of nonparametric methods in financial econometrics (Q2381754) (← links)
- Estimating correlation from high, low, opening and closing prices (Q2426612) (← links)
- Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues (Q2479446) (← links)
- Leroux's method for general hidden Markov models (Q2490057) (← links)
- A unified approach to validating univariate and multivariate conditional distribution models in time series (Q2512595) (← links)
- Adaptive estimation of the dynamics of a discrete time stochastic volatility model (Q2630149) (← links)
