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Consistent ranking of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009

Persistent link: https://www.econbiz.de/10003850918

Prioritizing of volatility models : a computational analysis using data envelopment analysis

Petridis, Konstantinos; Petridis, Nikolaos E.; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2302-2334

Persistent link: https://www.econbiz.de/10014259155

Testing the maximal rank of the volatility process for continuous diffusions observed with noise

Fissler, Tobias; Podolskij, Mark - 2014

Persistent link: https://www.econbiz.de/10010442414

Rank tests at jump events

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Lin, Huidi - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 312-321

Persistent link: https://www.econbiz.de/10012177350

Stochastic volatility : univariate and multivariate extensions

Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995

Persistent link: https://www.econbiz.de/10000918910

Models and priors for multivariate stochastic volatility

Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995 - Rev

Persistent link: https://www.econbiz.de/10000925647

Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - 2001

Persistent link: https://www.econbiz.de/10001580374

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

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

Time inhomogenous multiple volatility modeling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95

Persistent link: https://www.econbiz.de/10002220931