4 research outputs found
A new variant of estimation approach to asymmetric stochastic volatilitymodel
- Author
- Bauwens L Lubrano M
- Bollerslev T
- Broto C Ruiz E
- Chib S Nardarib F, Shephard N
- Diebold FX Guther TA, Tay AS
- Dobigeon N Tourneret J
- Engle RF
- Eraker B Johannes M, Polson N
- Geweke J
- Jacquier E Polson NG, Rossi PE
- Kawakatsu H
- Kim S Shephard N, Chib S
- Melino A Turnbull SM
- Men Z Kolkiewicz A, Wirjanto TS
- Men Z McLeish D, Kolkiewicz A, et al.
- Mira A Tierney L
- Neal RN
- Omori Y Chib S, Shephard N, et al.
- Roberts GO Rosenthal JS
- Shephard N Pitt MK
- Wirjanto TS Kolkiewicz A, Men Z
- Yu J
- Zhang X King L
- Publication venue
- 'American Institute of Mathematical Sciences (AIMS)'
- Publication date
- 01/01/2018
- Field of study
No full textBayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework
- Author
- A Doucet
- A Swishchuk
- Antonio A. F. Santos
- B Djegnéné
- B Maillet
- C Gourieroux
- C Gourieroux
- CG Lamoureux
- CW Granger
- D Creal
- E Jacquier
- G Kastner
- G Le Fol
- G Tauchen
- GB Durham
- GE Tauchen
- J Carpenter
- J Nakajima
- J Smith
- JR Stroud
- MK Pitt
- MK Pitt
- N Shephard
- N Shephard
- OE Barndorff-Nielsen
- PK Clark
- R Liesenfeld
- S Chib
- S Darolles
- S Darolles
- S Darolles
- S Kim
- S Malik
- SJ Taylor
- T Watanabe
- TG Andersen
- Y Omori
- Y Omori
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
No full textMultivariate Wishart stochastic volatility and changes in regime
- Author
- A Harvey
- A Philipov
- AA Christie
- B Solnik
- Bastian Gribisch
- C Andrieu
- C Doz
- C-J Kim
- CG Lamoureux
- CM Carvalho
- D Noureldin
- E Andreou
- FX Diebold
- FX Diebold
- G Koop
- GM Gallo
- HF Lopes
- J Daníelsson
- J Hull
- J Yu
- JA Lopez
- JD Hamilton
- JD Hamilton
- KJ Forbes
- L Bauwens
- M Asai
- M Asai
- M Billio
- M Haas
- M Smith
- M-H Chiang
- MJ Jensen
- MK Pitt
- MKP So
- MPS Gander
- N Nonejad
- N Shephard
- NJ Gordon
- P Christoffersen
- R Liesenfeld
- R Liesenfeld
- RE Kass
- RF Engle
- RF Engle
- RJ Muirhead
- S Chib
- S Chib
- S Chib
- S Kim
- SF Gray
- SJ Taylor
- SJ Taylor
- SM Ross
- T Bodnar
- T Bollerslev
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
No full textStochastic Volatility
- Author
- A Ang
- A Ang
- A Buraschi
- A Melino
- AA Smith Jr
- AC Harvey
- AC Harvey
- AC Harvey
- AR Gallant
- AR Gallant
- AR Gallant
- AR Gallant
- AR Gallant
- AR Gallant
- AR Pedersen
- AW Lo
- B Dumas
- B Dupire
- B Eraker
- B Eraker
- B Eraker
- B Han
- B Mizrach
- B Mizrach
- C Gouriéroux
- C Gouriéroux
- CG Lamoureux
- CM Hurvich
- CS Jones
- CS Jones
- D Duffie
- D Duffie
- D Duffie
- D Duffie
- D Duffie
- D McFadden
- D Yang
- DB Nelson
- DB Nelson
- DH Ahn
- DH Ahn
- DS Bates
- DS Bates
- DS Bates
- DS Bates
- DS Bates
- E Derman
- E Ghysels
- E Ghysels
- E Jacquier
- E Jacquier
- E Renault
- E Renault
- EM Stein
- F Black
- F Comte
- FA Longstaff
- FJ Breidt
- FM Bandi
- FM Bandi
- FM Bandi
- FM Bandi
- FM Bandi
- FM Bandi
- FX Diebold
- G Bakshi
- G Bakshi
- G Bakshi
- G Bakshi
- G Chacko
- G Duffee
- G Fiorentina
- G McQueen
- GE Tauchen
- GG Pennacchi
- GJ Jiang
- GJ Jiang
- GR Duffee
- GW Schwert
- GW Schwert
- H Johnson
- H Li
- J Danielsson
- J Danielsson
- J Duarte
- J Huang
- J Hull
- J Pan
- JB Wiggins
- JC Cox
- JC Cox
- JC Jackwerth
- JC Stein
- JD Coval
- JY Campbell
- JY Campbell
- JY Campbell
- K Back
- K Jacobs
- KC Chan
- KJ Singleton
- KJ Singleton
- KR French
- L Forsberg
- L Zhang
- LO Scott
- LR Glosten
- M Asai
- M Britten-Jones
- M Broadie
- M Carrasco
- M Carrasco
- M Chernov
- M Chernov
- M Fridman
- M Heidari
- M Ho
- M Parkinson
- M Piazzesi
- M Richardson
- M Rubinstein
- MB Garman
- MJ Fleming
- MK Pitt
- MS Bartlett
- MS Johannes
- MS Johannes
- MW Brandt
- MW Brandt
- MW Brandt
- MW Brandt
- N Meddahi
- N Shephard
- N Shephard
- ND Pearson
- NPB Bollen
- O Elerian
- OA Vasicek
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- OE Barndorff-Nielsen
- P Balduzzi
- P Carr
- P Carr
- P Cheridito
- P Collin-Dufresne
- P Collin-Dufresne
- P Collin-Dufresne
- P Pasquariello
- P Protter
- PF Christoffersen
- PK Clark
- PR Hansen
- Q Dai
- Q Dai
- R Bansal
- R Deo
- R Fan
- R Jagannathan
- R Jarrow
- R Liesenfeld
- R Liesenfeld
- R Liesenfeld
- R Litterman
- RC Merton
- RC Merton
- RC Merton
- RC Merton
- RE Whaley
- RF Engle
- RF Engle
- RJ Shiller
- RR Chen
- S Alizadeh
- S Chib
- S Chib
- SJ Taylor
- SL Heston
- SN Kim
- T Ané
- T Bollerslev
- T Bollerslev
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Andersen
- TG Conley
- X Huang
- Y Aït-Sahalia
- Y Aït-Sahalia
- Y Aït-Sahalia
- Y Aït-Sahalia
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
No full text
