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Stochastic volatility : univariate and multivariate extensions
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995
Persistent link: https://www.econbiz.de/10000918910
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Models and priors for multivariate stochastic volatility
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995 - Rev
Persistent link: https://www.econbiz.de/10000925647
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Sequential bayesian learning for stochastic volatility with variance-gamma jumps in returns
Warty, Samir P.; Lopes, Hehibert F.; Polson, Nicholas G. - 2014
Persistent link: https://www.econbiz.de/10010440180
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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of econometrics 122 (2004) 1, pp. 185-212
Persistent link: https://www.econbiz.de/10002136532
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MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732
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The impact of jumps in volatility and returns
Eraker, Bjørn; Johannes, Michael; Polson, Nicholas G. - In: The journal of finance : the journal of the American … 58 (2003) 3, pp. 1269-1300
Persistent link: https://www.econbiz.de/10001762606
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Practical filtering for stochastic volatility models
Stroud, Jonathan R.; Polson, Nicholas G.; Müller, Peter - In: State space and unobserved component models : theory …, (pp. 236-247). 2004
Persistent link: https://www.econbiz.de/10009719923
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Augmented Markov chain Monte Carlo simulation for two-stage stochastic programs with recourse
Ekin, Tahir; Polson, Nicholas G.; Soyer, Refik - In: Decision analysis : a journal of the Institute for … 11 (2014) 4, pp. 250-264
Persistent link: https://www.econbiz.de/10010467454