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Forecasting the variability of stock index returns with stochastic volatility models and implied volatility
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2000
Persistent link: https://www.econbiz.de/10001534834
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Maximum likelihood estimation of stochastic volatility models
Sandmann, Gleb; Koopman, Siem Jan - 1996
Persistent link: https://www.econbiz.de/10000953379
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Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb - In: Journal of econometrics 87 (1998) 2, pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
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Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002
Persistent link: https://www.econbiz.de/10001689297
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
Persistent link: https://www.econbiz.de/10001718624
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The stochastic volatility in mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Hol Uspensky, Eugenie - In: Journal of applied econometrics 17 (2002) 6, pp. 667-689
Persistent link: https://www.econbiz.de/10001723785
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Periodic heteroskedastic RegAFRIMA models for daily electricity spot prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
Persistent link: https://www.econbiz.de/10001883820
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2005
Persistent link: https://www.econbiz.de/10002564535
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The stochastic volatility on mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
Persistent link: https://www.econbiz.de/10001472890
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State space models with a common stochastic variance
Koopman, Siem Jan; Bos, Charles S. - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 3, pp. 346-357
Persistent link: https://www.econbiz.de/10002135515