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Classical and Bayesian analysis of univariate and multivariate stochastic volatility models

Liesenfeld, Roman (contributor); … - 2004 - [Elektronische Ressource]

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...

Persistent link: https://www.econbiz.de/10002476893

Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models

Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360

Persistent link: https://www.econbiz.de/10003355771

Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011523819

Analytical quasi maximum likelihood inference in multivariate volatility models

Hafner, Christian M. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001784026

Multivariate hyper-rotated GARCH-BEKK

Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

Market volatility index and implicit maximum likelihood estimation of stochastic volatility models

Moraux, Franck; Navatte, Patrick; Villa, Christophe - In: Finance : revue de l'Association Française de Finance 19 (1998) 2, pp. 17-40

Persistent link: https://www.econbiz.de/10001476766

Estimation in continuous-time stochastic volatility models using nonlinear filters

Nygaard Nielsen, Jan; Vestergaard, Martin - In: International journal of theoretical and applied finance 3 (2000) 2, pp. 279-308

Persistent link: https://www.econbiz.de/10001484701

Markov-switching and stochastic volatility diffusion models of short-term interest rates

Smith, Daniel R. - 2000

Persistent link: https://www.econbiz.de/10001487318

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - 2001

Persistent link: https://www.econbiz.de/10001606888

A generalized bivariate mixture model for stock price volatility and trading volume

Liesenfeld, Roman - In: Journal of econometrics 104 (2001) 1, pp. 141-178

Persistent link: https://www.econbiz.de/10001589531

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