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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
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A latent factor model of multivariate conditional heteroscedasticity
Aguilar, Mike - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 481-503
Persistent link: https://www.econbiz.de/10003907529
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Bayesian inference for multivariate copulas using pair-copula constructions
Min, Aleksey; Czado, Claudia - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 511-546
Persistent link: https://www.econbiz.de/10008665740
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Bayesian inference for discretely sampled Markov processes with closed-form likelihood expansions
Stramer, Osnat; Bognar, Matthew; Schneider, Paul - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 450-480
Persistent link: https://www.econbiz.de/10008665746
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A statistical inquiry into the plausibility of recursive utility
Gallant, A. Ronald; Hong, Han - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 523-559
Persistent link: https://www.econbiz.de/10003570720
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Bayesian inference for a structural credit risk model with stochastic volatility and stochastic interest rates
Rodriguez, Abel; Horst, Enrique ter; Malone, Samuel - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 839-867
Persistent link: https://www.econbiz.de/10011417815
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Bayesian mixed frequency VARs
Eraker, Bjørn; Chiu, Ching Wai Jeremy; Foerster, Andrew; … - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 698-721
Persistent link: https://www.econbiz.de/10011339252
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Comparing univariate and multivariate models to forecast portfolio value-at-risk
Santos, André A. P.; Nogales, Francisco J.; Ruiz, Esther - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 400-441
Persistent link: https://www.econbiz.de/10009745807
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Dynamic factor volatility modeling : a Bayesian latent threshold approach
Nakajima, Jouchi; West, Mike - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 116-153
Persistent link: https://www.econbiz.de/10009708923