Volatility, Jumps, and Predictability of Returns: A Sequential Analysis
Year of publication: |
2011
|
---|---|
Authors: | Raggi, Davide ; Bordignon, Silvano |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 30.2011, 6, p. 669-695
|
Publisher: |
Taylor & Francis Journals |
Subject: | Auxiliary particle filters | Bayesian estimation | Leverage | MCMC | Return's predictability | Stochastic volatility with jumps |
-
Estimating a DSGE model for Japan in a data-rich environment
Iiboshi, Hirokuni, (2015)
-
Semiparametric inference in dynamic binary choice models
Norets, A., (2014)
-
A new approach to modeling endogenous gain learning
Gaus, Eric, (2019)
- More ...
-
Volatility, Jumps and Predictability of Returns: a Sequential Analysis
Bordignon, Silvano, (2008)
-
Long memory and nonlinearities in realized volatility: a Markov switching approach
Bordignon, Silvano, (2010)
-
Volatility, jumps and predictability of returns : a sequential analysis
Bordignon, Silvano, (2008)
- More ...