Pages that link to "Item:Q961439"

The following pages link to Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439):

Displaying 40 items.

• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
• Generalized ARMA models with martingale difference errors (Q888346) (← links)
• Realized stochastic volatility with leverage and long memory (Q1623559) (← links)
• Extended stochastic volatility models incorporating realised measures (Q1623565) (← links)
• Model complexity and out-of-sample performance: evidence from S\&P 500 index returns (Q1657302) (← links)
• Fast smoothing in switching approximations of non-linear and non-Gaussian models (Q1658350) (← 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)
• Forecasting intraday volatility and value-at-risk with high-frequency data (Q1945435) (← links)
• Incorporating realized quarticity into a realized stochastic volatility model (Q2011046) (← links)
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
• Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange (Q2150391) (← links)
• Modeling returns volatility: realized GARCH incorporating realized risk measure (Q2150399) (← links)
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods (Q2354744) (← links)
• Realized stochastic volatility with general asymmetry and long memory (Q2398614) (← links)
• News impact curve for stochastic volatility models (Q2440158) (← links)
• Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach (Q2445737) (← links)
• Estimating stochastic volatility models using realized measures (Q2691659) (← links)
• Realized BEKK-CAW models (Q2693372) (← links)
• Simple factor realized stochastic volatility models (Q2693373) (← links)
• Realized stochastic volatility model. Bayesian analysis using Markov chain Monte Carlo (Q2864714) (← links)
• Multivariate Stochastic Volatility Model with Cross Leverage (Q3298481) (← links)
• Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility (Q4687528) (← links)
• (Q5011474) (← links)
• カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について (Q5011476) (← links)
• Generalized autoregressive moving average models with GARCH errors (Q5030955) (← links)
• Box–Cox realized asymmetric stochastic volatility models with generalized Student's<i>t</i>-error distributions (Q5138133) (← links)
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (Q5234329) (← links)
• Intraday Data vs Daily Data to Forecast Volatility in Financial Markets (Q5280128) (← links)
• GMM estimation of a realized stochastic volatility model: A Monte Carlo study (Q5862494) (← links)
• (Q5879918) (← links)
• Review of statistical approaches for modeling high-frequency trading data (Q6108877) (← links)
• Particle rolling MCMC with double-block sampling (Q6134370) (← links)
• Student‐t stochastic volatility model with composite likelihood EM‐algorithm (Q6135337) (← links)
• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)
• Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry (Q6158371) (← links)
• Modeling realized covariance measures with heterogeneous liquidity: a generalized matrix-variate Wishart state-space model (Q6163267) (← links)
• Bayesian modeling and forecasting of value-at-risk via threshold realized volatility (Q6574592) (← links)
• Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations (Q6626360) (← links)
• A Stochastic Volatility Model With Realized Measures for Option Pricing (Q6626361) (← links)