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Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco; Nientker, Marc - In: Journal of econometrics 235 (2023) 2, pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
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Stochastic volatility : univariate and multivariate extensions
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995
Persistent link: https://www.econbiz.de/10000918910
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Models and priors for multivariate stochastic volatility
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995 - Rev
Persistent link: https://www.econbiz.de/10000925647
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A useful multivariate stochastic integration result
Dhrymes, Phoebus J. - 1995
Persistent link: https://www.econbiz.de/10000937567
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Time inhomogeneous multiple volatility modelling
Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - 2001
Persistent link: https://www.econbiz.de/10001580374
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Efficiency gains from quasi-differencing under nonstationarity
Phillips, Peter C. B.; Lee, Chin Chin - 1996
Persistent link: https://www.econbiz.de/10001589738
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Extremes of multidimensional stationary diffusion processes and applications in finance
Kunz, Andreas (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001763100
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A range-based multivariate model for exchange rate volatility
Tims, Ben (contributor); Mahieu, Ronald J. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001765941
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A stochastic model for multivariate surveillance of infectious diseases
Hofmann, Mathias (contributor); Höhle, Michael (contributor) - 2004
Persistent link: https://www.econbiz.de/10002638729
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001920657