Narrow search
Showing 1 - 10 of 1,066
Cover Image
Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi - In: Review of derivatives research 24 (2021) 2, pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
Cover Image
Sequential monte carlo with model tempering
Mlikota, Marko; Schorfheide, Frank - 2022
Persistent link: https://www.econbiz.de/10012816978
Cover Image
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Cover Image
Stochastic volatility modelling in portfolio selection via sequential Monte Carlo simulation
Nascimento, Igor Ferreira do; Albuquerque, Pedro H.; … - In: International journal of portfolio analysis and … 2 (2021) 3, pp. 249-267
Persistent link: https://www.econbiz.de/10012595961
Cover Image
Sequential Bayesian inference for vector autoregressions with stochastic volatility
Bognanni, Mark; Zito, John - In: Journal of economic dynamics & control 113 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012502544
Cover Image
The relation between the corporate bond-yield spread and the real economy : stable or time-varying?
Karlsson, Sune; Österholm, Pär - In: Economics letters 186 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012503617
Cover Image
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Cover Image
High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction
Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020
Persistent link: https://www.econbiz.de/10012373015
Cover Image
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Cover Image
A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul; Dufour, Jean-Marie - 2019
Persistent link: https://www.econbiz.de/10012244154