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Scalable inference for a full multivariate stochastic volatility model

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A hybrid data cloning maximum likelihood estimator for stochastic volatility models

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Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283

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Nonlife ratemaking and risk management with Bayesian additive models for location, scale and shape

Klein, Nadja; Denuit, Michel; Lang, Stefan; Kneib, Thomas - 2013

Generalized additive models for location, scale and shape define a flexible, semi-parametric class of regression models for analyzing insurance data in which the exponential family assumption for the response is relaxed. This approach allows the actuary to include risk factors not only in the...

Persistent link: https://www.econbiz.de/10010190248

Jump spillovers in energy futures markets : implications for diversification benefits

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Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape

Klein, Nadja; Denuit, Michel; Lang, Stefan; Kneib, Thomas - In: Insurance / Mathematics & economics 55 (2014), pp. 225-249

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A comparative study of two models SV with MCMC algorithm

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Experience rating with Poisson mixtures

Brown, Garfield O.; Buckley, Winston S. - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 2, pp. 304-321

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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

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