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Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 157 (2010) 2, pp. 306-316
Persistent link: https://www.econbiz.de/10008663011
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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
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Bayesian semiparametric modeling of realized covariance matrices
Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39
Persistent link: https://www.econbiz.de/10011610652