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Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - In: Journal of econometrics 134 (2006) 2, pp. 341-372
Persistent link: https://www.econbiz.de/10007279810
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Markov chain Monte Carlo methods for stochastic volatility models
Chib, Siddhartha; Nardari, Federico; Shephard, Neil - In: Journal of econometrics 108 (2002) 2, pp. 281-316
Persistent link: https://www.econbiz.de/10006769396
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The 2001 JBES Invited Paper - Comment - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion
Chib, Siddhartha; Shephard, Neil - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 325-326
Persistent link: https://www.econbiz.de/10008216274
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Likelihood Inference for Discretely Observed Nonlinear Diffusions
Elerian, Ola; Chib, Siddhartha; Shephard, Neil - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 4, pp. 959-994
Persistent link: https://www.econbiz.de/10006773355
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Stochastic volatility with leverage: Fast and efficient likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil; … - In: Journal of econometrics 140 (2007) 2, pp. 425-449
Persistent link: https://www.econbiz.de/10007761426
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BAYESIAN CONSISTENCY FOR STATIONARY MODELS
Lijoi, Antonio; Prünster, Igor; Walker, Stephen G.; … - In: Econometric theory 23 (2007) 4, pp. 749-760
Persistent link: https://www.econbiz.de/10007732414
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Are Daily Cross-border Equity Flows Pushed or Pulled?
Griffin, John M.; Nardari, Federico; Stulz, René M. - In: The review of economics and statistics 86 (2004) 3, pp. 641-657
Persistent link: https://www.econbiz.de/10006364992
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Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries
Griffin, John M.; Nardari, Federico; Stulz, René M. - In: The review of financial studies 20 (2013) 3, pp. 905-904
Persistent link: https://www.econbiz.de/10010113640
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Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets
Griffin, John M.; Kelly, Patrick J.; Nardari, Federico - In: The review of financial studies 23 (2013) 8, pp. 3225-3224
Persistent link: https://www.econbiz.de/10010113852
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Explaining the early years of the euro exchange rate: An episode of learning about a new central bank
Gómez, Manuel; Melvin, Michael; Nardari, Federico - In: European economic review : EER 51 (2007) 3, pp. 505-520
Persistent link: https://www.econbiz.de/10007771232