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Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
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Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
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A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
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Modeling the conditional distribution of daily stock index returns : an alternative Bayesian semiparametric model
Kalli, Maria; Walker, Stephen G.; Damien, Paul - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 371-383
Persistent link: https://www.econbiz.de/10010337864
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Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto; Costantini, Mauro; Osuntuyi, Anthony - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
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The Markov-switching multifractal model of asset returns : GMM estimation and linear forecasting of volatility
Lux, Thomas - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 194-210
Persistent link: https://www.econbiz.de/10003675695
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Multivariate stochastic volatility via Wishart processes: a comment
Rinnergschwentner, Wolfgang; Tappeiner, Gottfried; … - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 1, pp. 164
Persistent link: https://www.econbiz.de/10009558917
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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10011389699