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Search: subject:"Stochastic Volatility"
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MCMC
Volatilität
1,247
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1,205
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1,121
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1,089
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974
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944
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422
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238
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196
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Witzany, Jiří
5
Laurini, Márcio Poletti
4
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3
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2
Creal, Drew
2
Flury, Thomas
2
Hachicha, Ahmed
2
Hachicha, Fatma
2
Jensen, Mark J.
2
Laurini, Márcio
2
Liu, Qingfu
2
Maheu, John M.
2
Masmoudi, Afif
2
Mauad, Roberto Baltieri
2
McCausland, William J.
2
Meyer, Renate
2
Raggi, Davide
2
Shephard, Neil
2
Tu, Anthony H.
2
Wu, Jing Cynthia
2
Ausín, Concepcion
1
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1
Boulter, Terry
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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RePEc
23
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18
EconStor
3
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1
Bayesian optimization of hyperparameters from noisy marginal likelihood estimates
Gustafsson, Oskar
;
Villani, Mattias
;
Stockhammar, Pär
- In:
Journal of applied econometrics
38
(
2023
)
4
,
pp. 577-595
Persistent link: https://www.econbiz.de/10014288027
Saved in:
2
Bond risk premia in consumption-based models
Creal, Drew
;
Wu, Jing Cynthia
- In:
Quantitative Economics
11
(
2020
)
4
,
pp. 1461-1484
conditional means of the risk factors, while structural models with recursive preferences credit it to
stochastic
volatility
. We …
Persistent link: https://www.econbiz.de/10013189716
Saved in:
3
Bond risk premia in consumption‐based models
Creal, Drew
;
Wu, Jing Cynthia
- In:
Quantitative economics : QE ; journal of the …
11
(
2020
)
4
,
pp. 1461-1484
conditional means of the risk factors, while structural models with recursive preferences credit it to
stochastic
volatility
. We …
Persistent link: https://www.econbiz.de/10012316725
Saved in:
4
Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman
;
Taṣpınar, Süleyman
;
Bera, Anil K.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
5
,
pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
Saved in:
5
Bayesian estimation of the
stochastic
volatility
model with double exponential jumps
Li, Jinzhi
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
Saved in:
6
Triple regime
stochastic
volatility
model with threshold and leverage effects
Han, Heejoon
;
Lee, Eunhee
- In:
The Korean economic review
36
(
2020
)
2
,
pp. 481-509
Persistent link: https://www.econbiz.de/10013273019
Saved in:
7
Sequential gibbs particle filter algorithm with applications to
stochastic
volatility
and jumps estimation
Witzany, Jiří
;
Fičura, Milan
- In:
Finance a úvěr
69
(
2019
)
5
,
pp. 463-488
Persistent link: https://www.econbiz.de/10012170648
Saved in:
8
Multivariate
stochastic
volatility
models: an empirical application for foreign exchange rates
Davaslıgil Atmaca, Verda
- In:
Selected topics in applied econometrics
,
(pp. 175-196)
.
2019
Persistent link: https://www.econbiz.de/10012286980
Saved in:
9
Particle learning for Bayesian non-parametric Markov Switching
Stochastic
Volatility
model
Virbickaite, Audrone
;
Lopes, Hedibert F.
;
Ausín, Concepcion
-
Departamento de Estadistica, Universidad Carlos III de …
-
2014
This paper designs a Particle Learning (PL) algorithm for estimation of Bayesian nonparametric
Stochastic
Volatility
…
Persistent link: https://www.econbiz.de/10010940764
Saved in:
10
Score driven asymmetric
stochastic
volatility
models
Mao, Xiuping
;
Ruiz, Esther
;
Veiga, Helena
-
Departamento de Estadistica, Universidad Carlos III de …
-
2014
In this paper we propose a new class of asymmetric
stochastic
volatility
(SV) models, which specifies the volatility as …
Persistent link: https://www.econbiz.de/10010940765
Saved in:
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