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Search: subject:"Multivariate Stochastic Volatility"
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Multivariate stochastic volatility
36
Volatilität
27
Stochastischer Prozess
24
Volatility
24
multivariate stochastic volatility
22
Estimation
21
Stochastic process
21
Schätzung
19
Multivariate Stochastic Volatility
15
Time series analysis
12
Zeitreihenanalyse
12
Markov chain Monte Carlo
10
Multivariate Analyse
10
Multivariate analysis
10
Theorie
10
Estimation theory
9
Schätztheorie
9
Correlation
8
Korrelation
8
Theory
8
block structures
8
curse of dimensionality
8
Kapitaleinkommen
7
Long memory
7
Prognoseverfahren
7
leverage effects
7
ARCH model
6
ARCH-Modell
6
Capital income
6
Forecasting model
6
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
VAR model
6
VAR-Modell
6
heavy-tailed distribution
6
multi-factors
6
Bayes-Statistik
5
Bayesian inference
5
Dimension reduction
5
Dynamic correlations
5
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Online availability
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Free
50
Undetermined
18
CC license
1
Type of publication
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Book / Working Paper
51
Article
25
Other
1
Type of publication (narrower categories)
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Working Paper
17
Article in journal
13
Aufsatz in Zeitschrift
13
Graue Literatur
11
Non-commercial literature
11
Arbeitspapier
10
Article
2
Conference Paper
2
Aufsatz im Buch
1
Book section
1
Conference paper
1
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1
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Language
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English
40
Undetermined
36
French
1
Author
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Asai, Manabu
32
McAleer, Michael
31
Caporin, Massimiliano
10
Yu, Jun
5
Hartwig, Benny
4
Casarin, Roberto
3
Gribisch, Bastian
3
Nakajima, Jouchi
3
Sartore, Domenico
3
Kliber, Agata
2
Mahieu, Ronald
2
Meyer, Renate
2
Raknerud, Arvid
2
Skare, Øivind
2
Trojan, Sebastian
2
Tronzano, Marco
2
West, Mike
2
Zhou, Xiaocong
2
A. Ronald Gallant
1
Ahsan, Md. Hazmul
1
Asai, M.
1
Belkacem, Lotfi
1
Boubaker, Heni
1
Calzolari, Giorgio
1
Caporin, M.
1
Castillo B., Paul
1
Chen, Han
1
Davaslıgil Atmaca, Verda
1
David Dickey
1
Dellaportas, Petros
1
Denis Pelletier
1
Dufour, Jean-Marie
1
Eratalay, M. Hakan
1
Eratalay, Mustafa Hakan
1
Esen, Halil Erturk
1
Fei, Yijie
1
Halbleib, Roxana
1
Ishihara, Tsunehiro
1
Johansson, Anders
1
Kalogeropoulos, Konstantinos
1
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Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
Tinbergen Instituut
4
Department of Economics and Finance, College of Business and Economics
3
Institute of Economic Research, Kyoto University
3
Dipartimento di Economia, Università Ca' Foscari Venezia
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials
1
Department of Economics, European University at St. Petersburg
1
East Asian Bureau of Economic Research (EABER)
1
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
1
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
1
Erasmus University Rotterdam, Econometric Institute
1
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
1
Institute of Economic Research, Hitotsubashi University
1
School of Economics and Political Science, Universität St. Gallen
1
School of Economics, Singapore Management University
1
Statistisk Sentralbyrå, Government of Norway
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Published in...
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Econometric Reviews
5
Discussion paper / Tinbergen Institute
4
Documentos de Trabajo del ICAE
4
Tinbergen Institute Discussion Paper
4
Tinbergen Institute Discussion Papers
4
KIER Working Papers
3
Working Papers in Economics
3
Econometric Institute Research Papers
2
Econometric reviews
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia
2
AStA Advances in Statistical Analysis
1
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Advances in Time Series Analysis
1
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2020: Gender Economics
1
CefES paper series
1
Computational Statistics & Data Analysis
1
Computational economics
1
Czech Journal of Economics and Finance (Finance a uver)
1
DEA Working Papers
1
Deutsche Bundesbank Discussion Paper
1
Discussion Papers
1
Discussion Papers / Statistisk Sentralbyrå, Government of Norway
1
Discussion paper
1
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
1
ERIM Report Series Research in Management
1
EUSP Deparment of Economics Working Paper Series
1
Econometric Institute Report
1
Econometrics : open access journal
1
Economics Working Paper
1
Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen
1
Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
1
Economics letters
1
Finance a úvěr
1
Global COE Hi-Stat Discussion Paper Series
1
International Econometric Review (IER)
1
International Journal of Forecasting
1
International journal of forecasting
1
International review of economics & finance : IREF
1
Journal of mathematical finance
1
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RePEc
40
ECONIS (ZBW)
25
EconStor
11
BASE
1
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1
Estimation pratique de modèles de volatilité stochastique à haute dimension avec des applications à l'incertitude macroéconomique au Québec et au Canada
Ahsan, Md. Hazmul
;
Dufour, Jean-Marie
; …
-
2025
Persistent link: https://www.econbiz.de/10015451550
Saved in:
2
Sequential estimation of multivariate factor stochastic volatility models
Mücher, Christian
;
Calzolari, Giorgio
;
Halbleib, Roxana
- In:
AStA Advances in Statistical Analysis
110
(
2025
)
1
,
pp. 41-63
We provide the first “frequentist” method to estimate the parameters of
multivariate
stochastic
volatility
models with …
Persistent link: https://www.econbiz.de/10015618464
Saved in:
3
Multivariate
stochastic
volatility
modeling via integrated nested laplace approximations : a multifactor extension
Nacinben, João Pedro Coli de Souza Monteneri
;
Laurini, …
- In:
Econometrics : open access journal
12
(
2024
)
1
,
pp. 1-28
aims to establish a computationally efficient approach for estimating
multivariate
stochastic
volatility
models. We propose …
Persistent link: https://www.econbiz.de/10014636390
Saved in:
4
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:
5
Robust inference intime-varying structural VAR models: The DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model.It establishes that systematically different dynamic restrictions are imposed …
Persistent link: https://www.econbiz.de/10012252866
Saved in:
6
Robust Inference in Time-Varying Structural VAR Models: The DC-Cholesky
Multivariate
Stochastic
Volatility
Model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model. It establishes that systematically different dynamic restrictions are …
multivariate
stochastic
volatility
model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012287816
Saved in:
7
Robust inference in time-varying structural VAR models : the DC-cholesky
multivariate
stochastic
volatility
model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model. It establishes that systematically different dynamic restrictions are …
multivariate
stochastic
volatility
model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
Saved in:
8
Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model.It establishes that systematically different dynamic restrictions are imposed …
Persistent link: https://www.econbiz.de/10012250452
Saved in:
9
Estimating high dimensional
multivariate
stochastic
volatility
models
Pelagatti, Matteo
;
Sbrana, Giacomo
-
2020
Persistent link: https://www.econbiz.de/10012318391
Saved in:
10
Forecasting volatility for an optimal portfolio with stylized facts using copulas
Karmous, Aida
;
Boubaker, Heni
;
Belkacem, Lotfi
- In:
Computational economics
58
(
2021
)
2
,
pp. 461-482
Persistent link: https://www.econbiz.de/10012615046
Saved in:
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