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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture

Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10010473521

Estimating stochastic volatility with jumps and asymmetry in Asian markets

Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153

Persistent link: https://www.econbiz.de/10012003495

Forecasting distress in cooperative banks : the role of asset quality

Forgione, Antonio Fabio; Migliardo, Carlo - In: International journal of forecasting 34 (2018) 4, pp. 678-695

Persistent link: https://www.econbiz.de/10012031082

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

Modeling the stochastic volatility of MAD/EURO and MAD/USD the exchange rates by the Bayesian approach and the MCMC (Monte Carlo Markov Chain) algorithm

Zakaria, Firano; Benbachir, Anass - In: Journal of modelling in management 18 (2023) 5, pp. 1498-1528

Persistent link: https://www.econbiz.de/10014380957

Bayesian dynamic models for space–time point processes

Reis, Edna A.; Gamerman, Dani; Paez, Marina S.; … - In: Computational Statistics & Data Analysis 60 (2013) C, pp. 146-156

In this work we propose a model for the intensity of a space–time point process, specified by a sequence of spatial surfaces that evolve dynamically in time. This specification allows flexible structures for the components of the model, in order to handle temporal and spatial variations both...

Persistent link: https://www.econbiz.de/10010603413