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A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano; Corsi, Fulvio; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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Estimating the value-at-risk from high-frequency data
Krasnovský, Pavol - In: European financial and accounting journal : EFAJ 10 (2015) 2, pp. 5-11
Persistent link: https://www.econbiz.de/10011471021
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Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices
Liu, Jia - In: Journal of risk 24 (2021) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10012816791
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Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho; Gobet, Emmanuel; Maurice, Anne-Claire - In: Quantitative finance 23 (2023) 9, pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
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Tracking economic activity with alternative high-frequency data
Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2025
Persistent link: https://www.econbiz.de/10015372760
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BUGS for a Bayesian analysis of stochastic volatility models
Meyer, Renate; Yu, Jun - 2000
Persistent link: https://www.econbiz.de/10001513469
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Bayesian statistical computations of nonlinear financial time series models : a survey with illustrations
Tsurumi, Hiroki - In: Asia-Pacific financial markets 7 (2000) 3, pp. 209-237
Persistent link: https://www.econbiz.de/10001508541
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Bayesian analysis of dynamic bivariate mixture models : can they explain the behavior of returns and trading volume?
Watanabe, Toshiaki - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 199-210
Persistent link: https://www.econbiz.de/10001469682
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Bayesian dynamic factor models and portfolio allocation
Aguilar, Omar; West, Mike - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 338-357
Persistent link: https://www.econbiz.de/10001493865
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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