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Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - In: Journal of econometrics 185 (2015) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10011339869
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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Bayesian estimation of an extended local scale stochastic volatility model
Deschamps, Jean-Philippe - In: Journal of econometrics 162 (2011) 2, pp. 369-382
Persistent link: https://www.econbiz.de/10009270622
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Option market trading activity and the estimation of the pricing kernel : a Bayesian approach
Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; … - In: Journal of econometrics 216 (2020) 2, pp. 430-449
Persistent link: https://www.econbiz.de/10012439749
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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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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Stochastic volatility with leverage : fast and efficient likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - In: Journal of econometrics 140 (2007) 2, pp. 425-449
Persistent link: https://www.econbiz.de/10003569881