Bayesian range-based estimation of stochastic volatility models
Year of publication: |
2005
|
---|---|
Authors: | Brandt, Michael W. ; Jones, Christopher S. |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 2.2005, 4, p. 201-209
|
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | CAPM |
-
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller, (2019)
-
Bianchi, Daniele, (2017)
-
Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J., (2014)
- More ...
-
Bayesian range-based estimation of stochastic volatility models
Brandt, Michael W., (2005)
-
Volatility Forecasting With Range-Based EGARCH Models
Brandt, Michael W., (2006)
-
Volatility forecasting with range-based EGARCH models
Brandt, Michael W., (2006)
- More ...