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~person:"Li, Yong"
~person:"Pajor, Anna"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Search: subject:"Bayes-Statistik"
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Volatilität
Bayes-Statistik
18
Bayesian inference
18
Theorie
14
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14
Monte Carlo simulation
10
Monte-Carlo-Simulation
10
Markov chain
9
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9
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stochastic volatility
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Article in journal
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9
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9
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Li, Yong
Pajor, Anna
Chan, Joshua
9
Poon, Aubrey
6
Carriero, Andrea
5
Clark, Todd E.
5
Cross, Jamie
5
Marcellino, Massimiliano
5
Nakajima, Jouchi
5
Rodriguez, Gabriel
5
Galeano, Pedro
4
Gupta, Rangan
4
Maheu, John M.
4
Meyer, Renate
4
West, Mike
4
Yu, Jun
4
Österholm, Pär
4
Asai, Manabu
3
Ausín, M. Concepción
3
Dimitrakopoulos, Stefanos
3
Guidolin, Massimo
3
Hou, Chenghan
3
Huber, Florian
3
Karali, Berna
3
Karlsson, Sune
3
Koop, Gary
3
Kostrzewski, Maciej
3
Liu, Jia
3
Luo, Jiawen
3
Men, Zhongxian
3
Mumtaz, Haroon
3
Nonejad, Nima
3
Ravazzolo, Francesco
3
Wirjanto, Tony S.
3
Alanya, Willy
2
Amir Ahmadi, Pooyan
2
Ardia, David
2
Berg, Andreas
2
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2
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Computational economics
2
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1
Argumenta oeconomica
1
Central European journal of economic modelling and econometrics
1
Eurasian economic review : a journal in applied macroeconomics and finance
1
International journal of financial markets and derivatives
1
Journal of mathematical finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
9
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1
Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships
Pajor, Anna
;
Wróblewska, Justyna
- In:
Eurasian economic review : a journal in applied …
12
(
2022
)
3
,
pp. 427-448
Persistent link: https://www.econbiz.de/10013431511
Saved in:
2
On sensitivity of inference in Bayesian MSF-MGARCH models
Osiewalski, Jacek
;
Pajor, Anna
- In:
Central European journal of economic modelling and …
11
(
2019
)
3
,
pp. 173-197
Persistent link: https://www.econbiz.de/10012294603
Saved in:
3
The short-term relationships among the U.S., German and Greek bond markets in times of financial crises : a Bayesian analysis of exogeneity in the VAR-SV model
Modrzejewska, Anita
;
Pajor, Anna
- In:
Argumenta oeconomica
38
(
2017
)
1
,
pp. 257-283
Persistent link: https://www.econbiz.de/10012284664
Saved in:
4
Bayesian testing for leverage effect in stochastic volatility models
Zhang, Jin-Yu
;
Chen, Zhong-Tian
;
Li, Yong
- In:
Computational economics
53
(
2019
)
3
,
pp. 1153-1164
Persistent link: https://www.econbiz.de/10012135124
Saved in:
5
An improved Bayesian unit root test in stochastic volatility models
Li, Yong
;
Yu, Jun
- In:
Annals of economics and finance
20
(
2019
)
1
,
pp. 103-122
Persistent link: https://www.econbiz.de/10012110029
Saved in:
6
VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna
;
Wróblewska, Justyna
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011708691
Saved in:
7
Discrete-time stochastic volatility process in option pricing : a generalisation of the Amin-Ng and the Black-Scholes models
Pajor, Anna
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 189-211
Persistent link: https://www.econbiz.de/10011742315
Saved in:
8
Unit root hypothesis in the presence of stochastic volatility, a bayesian analysis
Zhang, Jin-yu
;
Li, Yong
;
Chen, Zhu-ming
- In:
Computational economics
41
(
2013
)
1
,
pp. 89-100
Persistent link: https://www.econbiz.de/10009705029
Saved in:
9
Bayesian testing for asset volatility persistence on multivariate stochastic volatility models
Li, Yong
;
Peng, Fang-ping
;
Xu, Hao-feng
- In:
Journal of mathematical finance
2
(
2012
)
1
,
pp. 83-89
Persistent link: https://www.econbiz.de/10009668272
Saved in:
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