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Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - 2004
Persistent link: https://www.econbiz.de/10002396452
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Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002365024
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Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
Nakajima, Jouchi; Kunihama, Tsuyoshi; Omori, Yasuhiro; … - 2009
Persistent link: https://www.econbiz.de/10003908068
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Stochastic volatility with leverage : fast and efficient likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - In: Journal of econometrics 140 (2007) 2, pp. 425-449
Persistent link: https://www.econbiz.de/10003569881
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Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew student's t-distribution
Nakajima, Jouchi; Omori, Yasuhiro - 2010
Persistent link: https://www.econbiz.de/10003940764
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Particle rolling mcmc with double-block sampling
Awaya, Naoki; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339020