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  • Search: subject:"Multivariate stochastic volatility"
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Year of publication
Subject
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Multivariate stochastic volatility 35 Volatilität 27 Stochastischer Prozess 24 Volatility 24 Stochastic process 21 multivariate stochastic volatility 21 Estimation 20 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 48 Undetermined 18 CC license 1
Type of publication
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Book / Working Paper 50 Article 24 Other 1
Type of publication (narrower categories)
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Working Paper 16 Article in journal 13 Aufsatz in Zeitschrift 13 Graue Literatur 10 Non-commercial literature 10 Arbeitspapier 9 Conference Paper 2 Article 1 Aufsatz im Buch 1 Book section 1 Conference paper 1 Konferenzbeitrag 1
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Language
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English 39 Undetermined 36
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 Asai, M. 1 Belkacem, Lotfi 1 Boubaker, Heni 1 Caporin, M. 1 Castillo B., Paul 1 Chen, Han 1 Davaslıgil Atmaca, Verda 1 David Dickey 1 Dellaportas, Petros 1 Denis Pelletier 1 Eratalay, M. Hakan 1 Eratalay, Mustafa Hakan 1 Esen, Halil Erturk 1 Fei, Yijie 1 Ishihara, Tsunehiro 1 Johansson, Anders 1 Kalogeropoulos, Konstantinos 1 Karmous, Aida 1 Kim, Dukpa 1 Laurini, Márcio Poletti 1 Liesenfeld, Roman 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 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 MPRA Paper 1
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Source
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RePEc 40 ECONIS (ZBW) 24 EconStor 10 BASE 1
Showing 31 - 40 of 75
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767006
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Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724148
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A fractionally integrated wishart stochastic volatility model
Asai, Manabu; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724817
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A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
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Cover Image
Multivariate wishart stochastic volatility and changes in regime
Gribisch, Bastian - 2012
This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (2006) and …
Persistent link: https://www.econbiz.de/10010310730
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Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study
Eratalay, Mustafa Hakan - Department of Economics, European University at St. … - 2012
In this paper, we make two contributions to the MSV literature. First, we propose two new MSV models that account for leverage effects. Second, we compare the small sample performances of Quasi Maximum Likelihood (QML) and Monte Carlo Likelihood (MCL) methods through Monte Carlo studies for...
Persistent link: https://www.econbiz.de/10011161262
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Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2012
large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic … volatility models. The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on …
Persistent link: https://www.econbiz.de/10010837773
Saved in:
Cover Image
Multivariate wishart stochastic volatility and changes in regime
Gribisch, Bastian - Institut für Volkswirtschaftslehre, … - 2012
This paper generalizes the basic Wishart multivariate stochastic volatility model of Philipov and Glickman (2006) and …
Persistent link: https://www.econbiz.de/10010954822
Saved in:
Cover Image
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2012
large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic … volatility models. The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on …
Persistent link: https://www.econbiz.de/10009652057
Saved in:
Cover Image
Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
McAleer, Michael; Asai, Manabu; Caporin, Massimiliano - Institute of Economic Research, Kyoto University - 2012
large. We contribute to this strand of the literature proposing a block-type parameterization for multivariate stochastic … volatility models. The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on …
Persistent link: https://www.econbiz.de/10010540176
Saved in:
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