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  • Search: subject:"threshold stochastic volatility"
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Year of publication
Subject
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Stochastic process 3 Stochastischer Prozess 3 Theorie 3 Theory 3 Volatility 3 Volatilität 3 Asymmetric characteristics 2 Bayesian MCMC 2 Commodity futures markets 2 Threshold stochastic volatility model 2 Volatility forecasting 2 ARCH model 1 ARCH-Modell 1 Asymmetric information 1 Asymmetrische Information 1 Bayes-Statistik 1 Bayesian inference 1 Capital income 1 Commodity derivative 1 EGARCH 1 Estimation 1 Financial market 1 Finanzmarkt 1 Forecasting model 1 Kapitaleinkommen 1 Leverage effect 1 MCMC estimator 1 Markov chain 1 Markov chain Monte Carlo 1 Markov-Kette 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Prognoseverfahren 1 Rohstoffderivat 1 Schätzung 1 Stochastic News Impact Surface 1 Threshold Stochastic Volatility 1 Time series analysis 1 VaR 1 WinBUGS 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 4 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3 Undetermined 2
Author
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An, Yunbi 2 Liu, Qingfu 2 Wong, Ieokhou 2 Zhang, Jinqing 2 Kolkiewicz, Adam W. 1 Mao, Xiuping 1 Men, Zhongxian 1 Ruiz, Esther 1 Veiga, Helena 1 Wirjanto, Tony S. 1 Xu, Dinghai 1
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Institution
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Departamento de Estadistica, Universidad Carlos III de Madrid 1
Published in...
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International journal of finance & economics : IJFE 1 Journal of forecasting 1 Pacific-Basin Finance Journal 1 Pacific-Basin finance journal 1 Statistics and Econometrics Working Papers 1
Source
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ECONIS (ZBW) 3 RePEc 2
Showing 1 - 5 of 5
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One for all : nesting asymmetric stochastic volatility models
Mao, Xiuping; Ruiz, Esther; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2013
This paper proposes a new stochastic volatility model to represent the dynamic evolution of conditionally heteroscedastic time series with leverage effect. Although there are already several models proposed in the literature with the same purpose, our main justification for a further new model...
Persistent link: https://www.econbiz.de/10010861885
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Bayesian analysis of a threshold stochastic volatility model
Wirjanto, Tony S.; Kolkiewicz, Adam W.; Men, Zhongxian - In: Journal of forecasting 35 (2016) 5, pp. 462-476
Persistent link: https://www.econbiz.de/10011580989
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Asymmetric Information and Volatility Forecasting in Commodity Futures Markets
Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin Finance Journal 26 (2014) C, pp. 79-97
within the threshold stochastic volatility (THSV) framework with various distribution assumptions. To gauge the capabilities …
Persistent link: https://www.econbiz.de/10010753126
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Asymmetric information and volatility forecasting in commodity futures markets
Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin finance journal 26 (2014), pp. 79-97
Persistent link: https://www.econbiz.de/10010498758
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Examining realized volatility regimes under a threshold stochastic volatility model
Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389
Persistent link: https://www.econbiz.de/10009689475
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