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Efficient Estimation of a Multivariate Multiplicative Volatility Model

Hafner, Christian M. - 2010

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

Persistent link: https://www.econbiz.de/10013148178

Relating Stochastic Volatility Estimation Methods

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

Persistent link: https://www.econbiz.de/10013128944

l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes

Neto, David; Sardy, Sylvain; Tseng, Paul - 2009

Persistent link: https://www.econbiz.de/10003926975

The dynamic Skellam model with applications

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2014

We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...

Persistent link: https://www.econbiz.de/10010253460

A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices

Qu, Zhongjun; Perron, Pierre - In: The econometrics journal 16 (2013) 3, pp. 309-339

Persistent link: https://www.econbiz.de/10010253639

Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH

Niu, Wei-fang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 421-438

Persistent link: https://www.econbiz.de/10009787977

Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models

Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161

Persistent link: https://www.econbiz.de/10009615752

Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise

Taniai, Hiroyuki; Usami, Takashi; Suto, Nobuyuki; … - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 617-636

Persistent link: https://www.econbiz.de/10009671895

Estimation of long memory in integrated variance

Rossi, Eduardo; Santucci de Magistris, Paolo - In: Econometric reviews 33 (2014) 7, pp. 785-814

Persistent link: https://www.econbiz.de/10010363876

Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

dynamics adapts to the non-normal nature of financial data, which helps to robustify the volatility estimates. The new model … volatility forecasting of stock returns and exchange rates. …

Persistent link: https://www.econbiz.de/10010384110