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1
Multivariate stochastic
volatility
models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
An empirical study of Asian stock
volatility
using stochastic
volatility
factor model : factor analysis and forecasting
Lui, Silvia S. W.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003402009
Saved in:
3
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de
;
Raunig, Burkhard
-
2002
Persistent link: https://www.econbiz.de/10001650402
Saved in:
4
The empirical performance of option based densities of foreign exchange
Craig, Ben R.
;
Keller, Joachim G.
-
2002
Persistent link: https://www.econbiz.de/10001650407
Saved in:
5
Estimating the leverage parameter of continuous-time stochastic
volatility
models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
2011
-
1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
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6
Alternative asymmetric stochastic
volatility
models
Asai, Manabu
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008760507
Saved in:
7
Forecasting value-at-risk using block structure multivariate stochastic
volatility
models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
8
The changing transmission of uncertainty shocks in the US : an empirical analysis
Mumtaz, Haroon
;
Theodoridis, Konstantinos
-
2014
develop an extended Factor Augmented VAR model that simultaneously allows the
estimation
of a measure of uncertainty and its …
Persistent link: https://www.econbiz.de/10010472799
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9
US interest rates : are relations stable?
Karlsson, Sune
;
Kiss, Tamás
;
Nguyen, Hoang
; …
-
2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic
volatility
for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014490330
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10
Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances
Kiss, Tamás
;
Mazur, Stepan
;
Nguyen, Hoang
;
Österholm, Pär
-
2021
Persistent link: https://www.econbiz.de/10012605022
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