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Classical and Bayesian analysis of univariate and multivariate stochastic volatility models
Liesenfeld, Roman (contributor);  … - 2004 - [Elektronische Ressource]
In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...
Persistent link: https://www.econbiz.de/10002476893
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The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting
Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781206
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Trudy i materialy naučnych kongressov i soveščanij, opublikovannye za rubezom / Estestvennye i techničeskie nauki : v ... godu ; ukazatel'
Akademija nauk SSSR / Biblioteka - Leningrad : Izd. Otdel Biblioteka - 4=22.1982(1984); 6=24.1983/84(1985) - …
Persistent link: https://www.econbiz.de/10000351548
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Trudy i materialy naučnych kongressov i soveščanij, opublikovannye za rubezom / Obščestvennye nauki : v ... godu ; ukazatel'
Akademija nauk SSSR / Biblioteka - 1981-1990: Leningrad : Izd. Otdel Biblioteka - 1=19.1978/79(1981) - 10=28.1988(1990); damit Ersch. eingest.
Persistent link: https://www.econbiz.de/10000358265
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Trabajos presentados en las primeras Jornadas de Investigación en Economía
In: Desarrollo económico : revista de ciencias sociales 36 (1996)
Persistent link: https://www.econbiz.de/10001202482
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Trabajos presentados en las segundas Jornadas de Investigación en Economía
1998
Persistent link: https://www.econbiz.de/10001256099