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Bayesian testing for leverage effect in stochastic volatility models

Zhang, Jin-Yu; Chen, Zhong-Tian; Li, Yong - In: Computational economics 53 (2019) 3, pp. 1153-1164

Persistent link: https://www.econbiz.de/10012135124

An improved Bayesian unit root test in stochastic volatility models

Li, Yong; Yu, Jun - In: Annals of economics and finance 20 (2019) 1, pp. 103-122

Persistent link: https://www.econbiz.de/10012110029

Particle learning for Bayesian semi-parametric stochastic volatility model

Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - In: Econometric reviews 38 (2019) 9, pp. 1007-1023

Persistent link: https://www.econbiz.de/10012181379

Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10012110246

An extrapolative model of house price dynamics

Glaeser, Edward L.; Nathanson, Charles G. - In: Journal of financial economics 126 (2017) 1, pp. 147-170

Persistent link: https://www.econbiz.de/10011751876

X-CAPM : an extrapolative capital asset pricing model

Barberis, Nicholas; Greenwood, Robin; Jin, Lawrence; … - In: Journal of financial economics 115 (2015) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011327273

Investor sentiment, extrapolation and asset pricing

Wu, Huihui; Yang, Chunpeng - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 182-205

Persistent link: https://www.econbiz.de/10013532000

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five...

Persistent link: https://www.econbiz.de/10012018629

Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038

Persistent link: https://www.econbiz.de/10009666985

Testing volatility persistence on Markov switching stochastic volatility models

Pan, Qi; Li, Yong - In: Economic modelling 35 (2013), pp. 45-50

Persistent link: https://www.econbiz.de/10010258578

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