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ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.; Kristensen, Dennis - 2014
Persistent link: https://www.econbiz.de/10010401691
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Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei; Kruse-Becher, Robinson - 2021
Persistent link: https://www.econbiz.de/10012620758
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Identification and estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017
Persistent link: https://www.econbiz.de/10011750340
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Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020
Persistent link: https://www.econbiz.de/10012317765
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders; Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849498
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Quadratic variation by Markov chains
Hansen, Peter Reinhard; Horel, Guillaume - 2009
Persistent link: https://www.econbiz.de/10003849527
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A meta-distribution for non-stationary samples
Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003849558
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562