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Stochastic process
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Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
Persistent link: https://www.econbiz.de/10002396452
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2
Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002365024
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3
News impact curve for stochastic volatility models
Takahashi, Makoto
;
Omori, Yasuhiro
;
Watanabe, Toshiaki
- In:
Economics letters
120
(
2013
)
1
,
pp. 130-134
Persistent link: https://www.econbiz.de/10009760436
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4
Multivariate stochastic volatility
Chib, Siddhartha
;
Omori, Yasuhiro
;
Asai, Manabu
- In:
Handbook of financial time series
,
(pp. 365-400)
.
2009
Persistent link: https://www.econbiz.de/10003833972
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5
Stochastic volatility with leverage : fast and efficient likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 425-449
Persistent link: https://www.econbiz.de/10003569881
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6
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto
;
Watanabe, Toshiaki
;
Omori, Yasuhiro
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
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7
Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
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8
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
-
2020
Persistent link: https://www.econbiz.de/10013335000
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9
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
-
2021
Persistent link: https://www.econbiz.de/10013339035
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10
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
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