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~person:"Chen, Liyuan"
~person:"Poon, Aubrey"
~person:"Witzany, Jiří"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
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Search: subject:"Stochastic Volatility"
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Chen, Liyuan
Poon, Aubrey
Witzany, Jiří
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10
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10
Asai, Manabu
8
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8
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Ravazzolo, Francesco
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3
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ECONIS (ZBW)
9
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1
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
2
Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
-
2019
Persistent link: https://www.econbiz.de/10012223665
Saved in:
3
Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
-
2019
Persistent link: https://www.econbiz.de/10012115020
Saved in:
4
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:
5
Use of adapted particle filters in SVJD models
Fičura, Milan
;
Witzany, Jiří
- In:
European financial and accounting journal : EFAJ
13
(
2018
)
3
,
pp. 5-20
Particle Filter algorithms for filtering latent states (volatility and jumps) of
Stochastic-Volatility
Jump …
Persistent link: https://www.econbiz.de/10012118579
Saved in:
6
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:
7
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:
8
Estimating
stochastic
volatility
and jumps using high-frequency data and Bayesian methods
Fičura, Milan
;
Witzany, Jiří
- In:
Finance a úvěr
66
(
2016
)
4
,
pp. 278-301
Persistent link: https://www.econbiz.de/10011532802
Saved in:
9
Estimating correlated jumps and stochastic volatilities
Witzany, Jiří
- In:
Prague economic papers : a bimonthly journal of …
22
(
2013
)
2
,
pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
Saved in:
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