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~subject:"Stochastic process"
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Stochastic process
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Fičura, Milan
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Huang, Jing-Zhi
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León-González, Roberto
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Witzany, Jiří
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2
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1
Estimating growth at risk with skewed stochastic volatility models
Wolf, Elias
-
2022
Bootstrap Particle
Filters
, I modify the Tempered Particle Filter of Herbst and Schorfheide's (2019) to account for stochastic …
Persistent link: https://www.econbiz.de/10012807854
Saved in:
2
Stochastic properties of nonlinear locally-nonstationary
filters
Blasques, Francisco
;
Nientker, Marc
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445
Saved in:
3
Option pricing under stochastic volatility models with latent volatility
Bégin, Jean-François
;
Godin, Frédéric
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
Saved in:
4
Leverage effect in cryptocurrency markets
Huang, Jing-Zhi
;
Ni, Jun
;
Xu, Li
- In:
Pacific-Basin finance journal
73
(
2022
),
pp. 1-26
Persistent link: https://www.econbiz.de/10013389124
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
filters
outperformed the un-adapted particle filter. …
Persistent link: https://www.econbiz.de/10012118579
Saved in:
6
Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
León-González, Roberto
-
2018
Persistent link: https://www.econbiz.de/10012196629
Saved in:
7
Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility
Huang, Jing-Zhi
;
Huang, Zhijian
;
Xu, Li
- In:
The quarterly journal of finance
11
(
2021
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012649885
Saved in:
8
Estimation of dynamic panel data models with stochastic volatility using particle
filters
Xu, Wen
- In:
Econometrics : open access journal
4
(
2016
)
4
,
pp. 1-13
likelihood obtained via Rao-Blackwellized particle
filters
. Monte Carlo studies reveal the good and stable performance of our …
Persistent link: https://www.econbiz.de/10011650493
Saved in:
9
Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
Leon-Gonzalez, Roberto
-
2015
Persistent link: https://www.econbiz.de/10012195829
Saved in:
10
Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
León-González, Roberto
- In:
Econometric reviews
38
(
2019
)
8
,
pp. 899-920
Persistent link: https://www.econbiz.de/10012181373
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