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Parameter estimation for stock models with non-constant volatility using Markov chain Monte Carlo methods
Hahn, Markus; Putschögl, Wolfgang; Sass, Jörn - In: Operations research proceedings 2006 : selected papers …, (pp. 227-232). 2007
Persistent link: https://www.econbiz.de/10003470697
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A Markov test for alpha
Foster, Dean P.; Stine, Robert A.; Young, H. Peyton - 2011
Persistent link: https://www.econbiz.de/10009303237
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Markov regime switching generalized autoregressive conditional heteroskedastic model and volatility modeling for oil returns
Günay, Samet - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 4, pp. 979-985
Persistent link: https://www.econbiz.de/10011456391
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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...
Persistent link: https://www.econbiz.de/10009612011
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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
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Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
Lillestøl, Jostein - 2000
Persistent link: https://www.econbiz.de/10001582162
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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
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A Markov test for alpha
Foster, Dean P.; Stine, Robert A.; Young, H. Peyton - 2011
Persistent link: https://www.econbiz.de/10009349550
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A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul; Dufour, Jean-Marie - 2019
Persistent link: https://www.econbiz.de/10012244154