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~person:"Caporin, Massimiliano"
~person:"Zerilli, Paola"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
~subject:"Share price"
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Search: subject:"Stochastic Volatility"
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Börsenkurs
Kapitaleinkommen
Share price
Stochastischer Prozess
9
Volatilität
9
Stochastic process
8
Volatility
8
multivariate stochastic volatility
8
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7
block structures
7
curse of dimensionality
7
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6
heavy-tailed distribution
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leverage effects
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multi-factors
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Stochastic volatility
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Asymmetric Laplace distribution
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Markov-Kette
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Monte Carlo simulation
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Caporin, Massimiliano
Zerilli, Paola
McAleer, Michael
10
Tauchen, George Eugene
10
Asai, Manabu
8
Todorov, Viktor
8
Koopman, Siem Jan
6
Li, Jia
6
Omori, Yasuhiro
5
Ravazzolo, Francesco
5
Rodriguez, Gabriel
5
Chang, Chia-Lin
4
Forbes, Catherine Scipione
4
Gupta, Rangan
4
Maneesoonthorn, Worapree
4
Martin, Gael M.
4
Yamauchi, Yuta
4
Baum, Christopher F.
3
Bollerslev, Tim
3
Chen, Liyuan
3
Gefang, Deborah
3
Guidolin, Massimo
3
Huang, Jing-Zhi
3
Ignatieva, Ekaterina
3
Koop, Gary
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Li, Yong
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Mandal, Anandadeep
3
Nakajima, Jouchi
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Poon, Aubrey
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Poshakwale, Sunil S.
3
Witzany, Jiří
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Xu, Li
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Ahsan, Nazmul
2
Alanya, Willy
2
Allen, David E.
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Andersen, Torben
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Baldeaux, Jan
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Bates, David S.
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Energy economics
2
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1
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1
International review of economics & finance : IREF
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ECONIS (ZBW)
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1
Leverage effects and
stochastic
volatility
in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
-
2018
Persistent link: https://www.econbiz.de/10011891048
Saved in:
2
Stochastic
volatility
, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.
;
Zerilli, Paola
;
Chen, Liyuan
- In:
Energy economics
93
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
Saved in:
3
Leverage effects and
stochastic
volatility
in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
4
Forecasting Value-at-Risk using Block Structure Multivariate
Stochastic
Volatility
Models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2013
stochastic
volatility
models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value …
Persistent link: https://www.econbiz.de/10010326487
Saved in:
5
Forecasting value-at-risk using block structure multivariate
stochastic
volatility
models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009767006
Saved in:
6
Forecasting value-at-risk using block structure multivariate
stochastic
volatility
models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
Saved in:
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