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isPartOf:"Journal of econometrics"
~source:"econis"
~subject:"Bayesian inference"
~subject:"Stochastischer Prozess"
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Bayesian inference
Stochastischer Prozess
Volatility
321
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116
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Journal of econometrics
International journal of theoretical and applied finance
135
Quantitative finance
86
Applied mathematical finance
61
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
Discussion paper / Tinbergen Institute
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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1
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
2
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
3
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
4
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
5
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
6
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
7
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
Saved in:
8
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
9
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
10
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
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