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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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Flexible modeling of dependence in volatility processes
Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
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Alternative formulations of the leverage effect in a stochastic volatility model with asymmetric heavy-tailed errors
Deschamps, Philippe J. - 2015
Persistent link: https://www.econbiz.de/10011289959
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Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model
Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196
Persistent link: https://www.econbiz.de/10011378505
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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Business cycles and financial crises : the roles of credit supply and demand shocks
Nason, James Michael; Tallman, Ellis W. - In: Macroeconomic dynamics 19 (2015) 4, pp. 836-882
Persistent link: https://www.econbiz.de/10011309203
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2013
Persistent link: https://www.econbiz.de/10010245443
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Bayesian estimation of non-Gaussian stochastic volatility models
Elabed, Asma Graja; Masmoudi, Afif - In: Journal of mathematical finance 4 (2014) 2, pp. 95-103
Persistent link: https://www.econbiz.de/10010380909
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Scientific stochastic volatility models for the European carbon markets : forecasting and extracting conditional moments
Solibakke, Per Bjarte - In: International journal of business 19 (2014) 1, pp. 63-98
Persistent link: https://www.econbiz.de/10010344777
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Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets
Fileccia, Gaetano; Sgarra, Carlo - In: International journal of computational economics and … 5 (2015) 4, pp. 451-479
Persistent link: https://www.econbiz.de/10011440890