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Maximum likelihood and Gaussian estimation of continuous time models in finance

Phillips, Peter C. B. (contributor); Yu, Jun (contributor) - 2007

Persistent link: https://www.econbiz.de/10003462517

Extreme value theory for tail-related risk measures

Gilli, Manfred; Ke͏̈llezi, Evis - 2000

Persistent link: https://www.econbiz.de/10001599884

Testing and modelling time series with time varying tails

Palumbo, Dario - 2021

Persistent link: https://www.econbiz.de/10013254110

Classical and Bayesian analysis of univariate and multivariate stochastic volatility models

Liesenfeld, Roman (contributor); … - 2004 - [Elektronische Ressource]

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...