Showing 1 - 10 of 3,004
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
Persistent link: https://www.econbiz.de/10003901919
-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book …
Persistent link: https://www.econbiz.de/10009634376
Persistent link: https://www.econbiz.de/10001621020
Persistent link: https://www.econbiz.de/10001919184
Persistent link: https://www.econbiz.de/10002437597
Persistent link: https://www.econbiz.de/10001333486
Persistent link: https://www.econbiz.de/10001244882
Persistent link: https://www.econbiz.de/10001447058
Persistent link: https://www.econbiz.de/10011743179