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Persistent link: https://www.econbiz.de/10012805056

Policy uncertainty and peer effects : evidence from corporate investment in China

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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

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A Bayesian semiparametric realized stochastic volatility model

Liu, Jia - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-22

This paper proposes a semiparametric realized stochastic volatility model by integrating the parametric stochastic volatility model utilizing realized volatility information and the Bayesian nonparametric framework. The flexible framework offered by Bayesian nonparametric mixtures not only...

Persistent link: https://www.econbiz.de/10012800257