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Stochastic multivariate mixture covariance model
So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
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Bayesian analysis of latent threshold dynamic models
Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164
Persistent link: https://www.econbiz.de/10009754013
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Multivariate rough volatility
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015326256
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Proximity-structured multivariate volatility models
Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
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Multivariate periodic stochastic volatility models : applications to Algerian dinar exchange rates and oil prices modeling
Boussaha, Nadia; Hamdi, Faycal; Souam, Saïd - 2018
Persistent link: https://www.econbiz.de/10012240489
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The multivariate fractional Ornstein-Uhlenbeck process
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015084279
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Models and priors for multivariate stochastic volatility
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995 - Rev
Persistent link: https://www.econbiz.de/10000925647
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Novel techniques for Bayesian inference in univariate and multivariate stochastic volatility models
Tsionas, Mike G. - 2022
In this paper we exploit properties of the likelihood function of the stochastic volatility model to show that it can …
Persistent link: https://www.econbiz.de/10014084542
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The economic drivers of volatility and uncertainty
Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2020
Persistent link: https://www.econbiz.de/10012301117
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Flexible modeling of dependence in volatility processes
Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10011389911