Pages that link to "Item:Q961427"

The following pages link to Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427):

Displaying 40 items.

• On leverage in a stochastic volatility model (Q262831) (← links)
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
• Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (Q899508) (← links)
• Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439) (← links)
• A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect (Q961822) (← links)
• Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
• Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258) (← links)
• An extension of stochastic volatility model with mixed frequency information (Q1673463) (← links)
• On marginal likelihood computation in change-point models (Q1927122) (← links)
• Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (Q1927147) (← links)
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
• Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (Q2000331) (← links)
• Bayesian estimation of the stochastic volatility model with double exponential jumps (Q2047037) (← links)
• A new filtering inference procedure for a GED state-space volatility model (Q2156805) (← links)
• Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets (Q2228675) (← links)
• A fast and efficient Markov chain Monte Carlo method for market microstructure model (Q2244387) (← links)
• Modeling financial time series based on a market microstructure model with leverage effect (Q2314707) (← links)
• The tail empirical process for long memory stochastic volatility models with leverage (Q2326064) (← links)
• A Bayesian semiparametric model for volatility with a leverage effect (Q2361227) (← links)
• Periodic autoregressive stochastic volatility (Q2412761) (← links)
• Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations (Q2445719) (← links)
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions (Q2445744) (← links)
• Leverage causes fat tails and clustered volatility (Q2869960) (← links)
• Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage (Q3297248) (← links)
• (Q4791402) (← links)
• Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions (Q5027559) (← links)
• A new method for sequential learning of states and parameters for state-space models: the particle swarm learning optimization (Q5036844) (← links)
• Bayesian testing volatility persistence in stochastic volatility models with jumps (Q5245900) (← links)
• Implicit Estimation for the Stochastic Volatility Model (Q5419350) (← links)
• Adaptive MCMC methods for inference on affine stochastic volatility models with jumps (Q5703228) (← links)
• Particle learning for Bayesian semi-parametric stochastic volatility model (Q5860957) (← links)
• The impact of jumps and leverage in forecasting covolatility (Q5864641) (← links)
• Shape-constrained semiparametric additive stochastic volatility models (Q5879997) (← links)
• Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution (Q6074097) (← links)
• Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s <i>t</i> distribution (Q6107596) (← links)
• Student‐t stochastic volatility model with composite likelihood EM‐algorithm (Q6135337) (← links)
• Bayesian prediction of jumps in large panels of time series data (Q6202925) (← links)
• Bayesian semiparametric Markov switching stochastic volatility model (Q6574607) (← links)