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Search: subject:"multivariate stochastic volatility"
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Multivariate stochastic volatility
18
multivariate stochastic volatility
15
Multivariate Stochastic Volatility
13
Volatilität
13
Stochastischer Prozess
11
Volatility
10
Estimation
9
Schätzung
9
Stochastic process
8
block structures
7
Estimation theory
6
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6
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6
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6
curse of dimensionality
6
leverage effects
6
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5
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Fractional Brownian motion
5
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5
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5
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5
Multivariate Analyse
5
Multivariate analysis
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heavy-tailed distribution
5
multi-factors
5
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4
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4
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4
Multifactor Model
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4
Theorie
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USA
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exchange rates
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Free
48
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44
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3
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15
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9
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9
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8
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2
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25
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23
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Asai, Manabu
23
McAleer, Michael
22
Caporin, Massimiliano
7
Hartwig, Benny
4
Gribisch, Bastian
3
Yu, Jun
3
Casarin, Roberto
2
Raknerud, Arvid
2
Sartore, Domenico
2
Skare, Øivind
2
A. Ronald Gallant
1
Asai, M.
1
Caporin, M.
1
Castillo B., Paul
1
Chen, Han
1
David Dickey
1
Dellaportas, Petros
1
Denis Pelletier
1
Eratalay, M. Hakan
1
Eratalay, Mustafa Hakan
1
Fei, Yijie
1
Kalogeropoulos, Konstantinos
1
Kim, Dukpa
1
Kliber, Agata
1
Laurini, Márcio Poletti
1
Liesenfeld, Roman
1
Liu, Peng
1
Mahieu, R.J.
1
Mahieu, Ronald
1
Meyer, Renate
1
Montoya, Jimena
1
Nacinben, João Pedro Coli de Souza Monteneri
1
Pelagatti, Matteo
1
Peter Bloomfield
1
Quineche, Ricardo
1
Roberts, Gareth O.
1
Sbrana, Giacomo
1
Tims, B.
1
Tims, Tims, B.
1
Tronzano, Marco
1
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
Tinbergen Instituut
4
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, Singapore Management University
1
Statistisk Sentralbyrå, Government of Norway
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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4
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3
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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
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Czech Journal of Economics and Finance (Finance a uver)
1
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Microeconomics Working Papers
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Research Paper / 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.
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Serie de documentos de trabajo
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Working Papers / School of Economics, Singapore Management University
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RePEc
27
ECONIS (ZBW)
10
EconStor
10
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1
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1
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:
2
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:
3
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:
4
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:
5
Estimating high dimensional
multivariate
stochastic
volatility
models
Pelagatti, Matteo
;
Sbrana, Giacomo
-
2020
Persistent link: https://www.econbiz.de/10012318391
Saved in:
6
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:
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
Estimation of
Multivariate
Stochastic
Volatility
Models: A Comparative Monte Carlo Study
Eratalay, M. Hakan
- In:
International Econometric Review (IER)
8
(
2016
)
2
,
pp. 19-52
(MCL) methods through Monte Carlo studies for several
multivariate
stochastic
volatility
models, among which we consider …
Persistent link: https://www.econbiz.de/10012610961
Saved in:
9
From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis
Castillo B., Paul
;
Montoya, Jimena
;
Quineche, Ricardo
-
2016
Persistent link: https://www.econbiz.de/10011503984
Saved in:
10
Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Asai, Manabu
;
McAleer, Michael
-
2014
forecasting, the authors propose a new factor
multivariate
stochastic
volatility
(fMSV) model for realized covariance measures …
Persistent link: https://www.econbiz.de/10010377197
Saved in:
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