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Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
Dimitrakopoulos, Stefanos - In: Economics letters 150 (2017), pp. 10-14
Persistent link: https://www.econbiz.de/10011761750
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A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul; Dufour, Jean-Marie - 2019
Persistent link: https://www.econbiz.de/10012244154
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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
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Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570
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New volatility models under a Bayesian perspective : a case study
Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197
Persistent link: https://www.econbiz.de/10011449738
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Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
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Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity
Norets, Andriy; Pelenis, Justinas - In: Journal of econometrics 230 (2022) 1, pp. 62-82
Persistent link: https://www.econbiz.de/10013441915
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A Bayesian quantile time series model for asset returns
Griffin, Jim E.; Mitrodima, Gelly - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 16-27
Persistent link: https://www.econbiz.de/10012804077
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Threshold stochastic volatility : properties and forecasting
Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123
Persistent link: https://www.econbiz.de/10011746949