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On deficiencies and possible improvements of the Basel II unexpected loss single-factor model
Witzany, Jiří - In: Finance a úvěr 60 (2010) 3, pp. 252-268
Persistent link: https://www.econbiz.de/10008699986
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On deficiencies and possible improvements of the Basel II unexpected loss single-factor model
Witzany, Jiří - In: Finance a úvěr 60 (2010) 3, pp. 252-268
Persistent link: https://www.econbiz.de/10009920090
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Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods
Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301
Persistent link: https://www.econbiz.de/10011532802
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Sequential gibbs particle filter algorithm with applications to stochastic volatility and jumps estimation
Witzany, Jiří; Fičura, Milan - In: Finance a úvěr 69 (2019) 5, pp. 463-488
Persistent link: https://www.econbiz.de/10012170648