Pages that link to "Item:Q4219769"

The following pages link to Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (Q4219769):

Displaying 50 items.

• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models (Q70784) (← links)
• Bayesian estimation and stochastic model specification search for dynamic survival models (Q89523) (← links)
• A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model (Q135452) (← links)
• Lookahead strategies for sequential Monte Carlo (Q254340) (← links)
• On particle methods for parameter estimation in state-space models (Q254462) (← links)
• Testing normality: a GMM approach (Q261889) (← links)
• On leverage in a stochastic volatility model (Q262831) (← links)
• A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors (Q274912) (← links)
• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
• Smoothly mixing regressions (Q277172) (← links)
• Matrix exponential GARCH (Q278044) (← links)
• Analysis of high dimensional multivariate stochastic volatility models (Q278181) (← links)
• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
• Bayesian identification, selection and estimation of semiparametric functions in high-dimensional additive models (Q291119) (← links)
• Consistent ranking of volatility models (Q292007) (← links)
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
• Regime switching for dynamic correlations (Q292034) (← links)
• A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
• The structure of dynamic correlations in multivariate stochastic volatility models (Q302187) (← links)
• The leverage effect puzzle: the case of European sovereign credit default swap market (Q345723) (← links)
• Parametric estimation of hidden stochastic model by contrast minimization and deconvolution (Q378917) (← links)
• Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions (Q425687) (← links)
• On generalised asymmetric stochastic volatility models (Q429633) (← links)
• Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
• Testing for unit roots in time series models with non-stationary volatility (Q451288) (← links)
• Simulation smoothing for state-space models: a computational efficiency analysis (Q452558) (← links)
• The hierarchical-likelihood approach to autoregressive stochastic volatility models (Q452568) (← links)
• Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures (Q452702) (← links)
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
• The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter (Q528088) (← links)
• Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
• Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling (Q529772) (← links)
• Time varying VARs with inequality restrictions (Q545190) (← links)
• The role of additional information in option pricing: estimation issues for the state space model (Q604920) (← links)
• Bayesian analysis of structural credit risk models with microstructure noises (Q609830) (← links)
• Individualism in plant populations: using stochastic differential equations to model individual neighbourhood-dependent plant growth (Q615505) (← links)
• Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach (Q629128) (← links)
• An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models (Q630100) (← links)
• Estimation and properties of a time-varying GQARCH(1,1)-M model (Q642451) (← links)
• Efficient Bayesian analysis of multiple changepoint models with dependence across segments (Q692967) (← links)
• Bayesian inference for the correlation coefficient in two seemingly unrelated regressions (Q693258) (← links)
• A MIDAS approach to modeling first and second moment dynamics (Q726588) (← links)
• Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach (Q734405) (← links)
• Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
• Bayesian estimation of bandwidth in semiparametric kernel estimation of unknown probability mass and regression functions of count data (Q736586) (← links)
• A flexible approach to parametric inference in nonlinear and time varying time series models (Q736695) (← links)
• Nonparametric model validations for hidden Markov models with applications in financial econometrics (Q737900) (← links)
• Bayesian estimation of an extended local scale stochastic volatility model (Q737916) (← links)