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1
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
Saved in:
2
Semiparametric
Bayesian
inference for time-varying parameter regression models with stochastic
volatility
Dimitrakopoulos, Stefanos
- In:
Economics letters
150
(
2017
),
pp. 10-14
Persistent link: https://www.econbiz.de/10011761750
Saved in:
3
A simple efficient moment-based estimator for the stochastic
volatility
model
Ahsan, Nazmul
;
Dufour, Jean-Marie
-
2019
Persistent link: https://www.econbiz.de/10012244154
Saved in:
4
Efficient
Bayesian
inference in generalized inverse gamma processes for stochastic
volatility
Leon-Gonzalez, Roberto
-
2015
Persistent link: https://www.econbiz.de/10012195829
Saved in:
5
Efficient
Bayesian
inference in generalized inverse gamma processes for stochastic
volatility
León-González, Roberto
-
2018
Persistent link: https://www.econbiz.de/10012196629
Saved in:
6
Multivariate stochastic
volatility
with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2018
Persistent link: https://www.econbiz.de/10012196752
Saved in:
7
Multivariate stochastic
volatility
with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2018
Persistent link: https://www.econbiz.de/10012203994
Saved in:
8
Multivariate stochastic
volatility
with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
-
2020
-
This version: September 2020
Persistent link: https://www.econbiz.de/10013355422
Saved in:
9
Multivariate stochastic
volatility
with co-heteroscedasticity
Chan, Joshua
;
Doucet, Arnaud
;
León-González, Roberto
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
29
(
2025
)
3
,
pp. 265-300
Persistent link: https://www.econbiz.de/10015438126
Saved in:
10
High-frequency realized stochastic
volatility
model
Watanabe, Toshiaki
;
Nakajima, Jouchi
- In:
Journal of empirical finance
79
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10015179722
Saved in:
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