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Search: subject:"multivariate stochastic volatility"
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Estimation theory
Multivariate stochastic volatility
35
Volatilität
27
Estimation
24
Stochastischer Prozess
24
Volatility
24
Schätzung
23
Stochastic process
21
multivariate stochastic volatility
21
Multivariate Stochastic Volatility
15
Time series analysis
14
Zeitreihenanalyse
14
Theorie
13
Theory
11
Markov chain Monte Carlo
10
Kapitaleinkommen
8
Schätztheorie
8
block structures
8
curse of dimensionality
8
Capital income
7
Long memory
7
Prognoseverfahren
7
leverage effects
7
Correlation
6
Forecasting model
6
Korrelation
6
VAR model
6
VAR-Modell
6
heavy-tailed distribution
6
multi-factors
6
Dimension reduction
5
Dynamic correlations
5
Fractional Brownian motion
5
Leverage
5
Leverage Effects
5
Leverage effects
5
Monetary policy
5
Schock
5
Shock
5
Bayes-Statistik
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Hartwig, Benny
2
Chen, Han
1
Esen, Halil Erturk
1
Fei, Yijie
1
Laurini, Márcio Poletti
1
Moura, Guilherme Valle
1
Nacinben, João Pedro Coli de Souza Monteneri
1
Noriller, Mateus R.
1
Pelagatti, Matteo
1
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1
Shin, Minchul
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ECONIS (ZBW)
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1
Multivariate
stochastic
volatility
modeling via integrated nested laplace approximations : a multifactor extension
Nacinben, João Pedro Coli de Souza Monteneri
;
Laurini, …
- In:
Econometrics : open access journal
12
(
2024
)
1
,
pp. 1-28
aims to establish a computationally efficient approach for estimating
multivariate
stochastic
volatility
models. We propose …
Persistent link: https://www.econbiz.de/10014636390
Saved in:
2
Multivariate
stochastic
volatility
models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
3
Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model.It establishes that systematically different dynamic restrictions are imposed …
Persistent link: https://www.econbiz.de/10012250452
Saved in:
4
Robust inference in time-varying structural VAR models : the DC-cholesky
multivariate
stochastic
volatility
model
Hartwig, Benny
-
2020
Cholesky
multivariate
stochastic
volatility
model. It establishes that systematically different dynamic restrictions are …
multivariate
stochastic
volatility
model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
Saved in:
5
Estimating high dimensional
multivariate
stochastic
volatility
models
Pelagatti, Matteo
;
Sbrana, Giacomo
-
2020
Persistent link: https://www.econbiz.de/10012318391
Saved in:
6
A new approach to identifying the real effects of uncertainty shocks
Shin, Minchul
;
Zhong, Molin
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 367-379
Persistent link: https://www.econbiz.de/10012262481
Saved in:
7
Maximum likelihood estimation of a TVP-VAR
Moura, Guilherme Valle
;
Noriller, Mateus R.
- In:
Economics letters
174
(
2019
),
pp. 78-83
Persistent link: https://www.econbiz.de/10012121029
Saved in:
8
Multivariate
stochastic
volatility
estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
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