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Volatility
Bayesian inference
10,019
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9,943
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6,587
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6,422
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6,170
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5,602
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1,358
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1,279
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1,044
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1,001
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961
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799
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724
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23
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21
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20
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19
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18
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16
Asai, Manabu
15
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15
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14
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11
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11
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10
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10
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10
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10
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10
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10
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9
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9
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9
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9
Yu, Jun
9
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8
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8
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8
Koop, Gary
8
Hou, Chenghan
7
Meyer, Renate
7
Österholm, Pär
7
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6
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6
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6
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6
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6
Timmermann, Allan
6
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6
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5
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5
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1
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1
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1
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21
Energy economics
19
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International journal of forecasting
15
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15
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13
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11
Finance research letters
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Journal of empirical finance
10
The journal of computational finance
10
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8
Documento de trabajo
8
Econometrics : open access journal
8
Economics letters
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of risk and financial management : JRFM
8
The journal of futures markets
8
Journal of forecasting
7
The econometrics journal
7
CAMA Working Paper
6
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6
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6
Federal Reserve Bank of Cleveland working paper series
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6
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6
Applied economics letters
5
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ECONIS (ZBW)
946
RePEc
8
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61
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
62
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
63
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
64
Sequential Bayesian inference for vector autoregressions with stochastic volatility
Bognanni, Mark
;
Zito, John
-
2019
Persistent link: https://www.econbiz.de/10012137020
Saved in:
65
Copula multivariate GARCH model with constrained Hamiltonian Monte
Carlo
Burda, Martin
;
Belisle, Louis
-
2019
Persistent link: https://www.econbiz.de/10011999786
Saved in:
66
Uncertainty and energy-sector equity returns in Iran : a Bayesian and quasi-monte
Carlo
time-varying analysis
Fazelabdolabadi, Babak
- In:
Financial innovation : FIN
5
(
2019
)
12
,
pp. 1-20
, drilling, and petrochemical equity sectors of the Tehran Stock Exchange. The parameter estimation uses the quasi-Monte
Carlo
…
Persistent link: https://www.econbiz.de/10012266585
Saved in:
67
Multilevel Monte
Carlo
Simulation for the Heston Stochastic Volatility Model
Zheng, Chao
-
2020
We combine the multilevel Monte
Carlo
(MLMC) method with the numerical scheme for the Heston model that simulates the …
Persistent link: https://www.econbiz.de/10012855361
Saved in:
68
A fast algorithm for simulation of rough volatility models
Ma, Jingtang
;
Wu, Haofei
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
Saved in:
69
Calibrating local volatility models with stochastic drift and diffusion
Ögetbil, Orcan
;
Ganesan, Narayan
;
Hientzsch, Bernhard
- In:
International journal of theoretical and applied …
25
(
2022
)
2
,
pp. 1-43
Persistent link: https://www.econbiz.de/10013189965
Saved in:
70
GARCH pricing and hedging of VIX options
Liu, Qiang
;
Jiao, Yuhan
;
Guo, Shuxin
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
Saved in:
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