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Markov Chain Monte Carlo Metho...
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Stochastic process
Theorie
102
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101
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76
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76
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56
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50
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49
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47
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43
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43
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40
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28
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stochastic volatility
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Shephard, Neil G.
37
Barndorff-Nielsen, Ole E.
18
Chib, Siddhartha
13
Andersen, Torben
4
Omori, Yasuhiro
4
Nakajima, Jouchi
3
Shin, Minchul
3
Tan, Fei
3
Elerian, Ola
2
Pitt, Michael K.
2
Shephard, Neil
2
Asai, Manabu
1
Bos, Charles S.
1
Cavaliere, Giuseppe
1
Graversen, Svend Erik
1
Harvey, Andrew C.
1
Manrique, Aurora
1
Nardari, Federico
1
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1
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1
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Centre for Analytical Finance <Århus>
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Nuffield College
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5
Oxford Financial Research Centre economics series
4
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3
Journal of econometrics
3
Advanced texts in econometrics
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Handbook of financial time series
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ECONIS (ZBW)
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Markov chain Monte Carlo methods for stochastic volatility models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil G.
- In:
Journal of econometrics
108
(
2002
)
2
,
pp. 281-316
Persistent link: https://www.econbiz.de/10001657610
Saved in:
2
Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
Persistent link: https://www.econbiz.de/10002396452
Saved in:
3
Likelihood based inference for diffusion driven models
Chib, Siddhartha
(
contributor
);
Pitt, Michael K.
(
contributor
)
-
2004
Persistent link: https://www.econbiz.de/10002396486
Saved in:
4
Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002365024
Saved in:
5
Likelihood based inference for diffusion driven models
Chib, Siddhartha
(
contributor
);
Pitt, Michael K.
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002459152
Saved in:
6
Likelihood inference for discretely observed nonlinear diffusions
Elerian, Ola
;
Chib, Siddhartha
;
Shephard, Neil G.
- In:
Econometrica : journal of the Econometric Society, an …
69
(
2001
)
4
,
pp. 959-993
Persistent link: https://www.econbiz.de/10001594726
Saved in:
7
Likelihood inference for discretely observed non-linear diffusions
Elerian, Ola
;
Chib, Siddhartha
;
Shephard, Neil G.
-
2000
Persistent link: https://www.econbiz.de/10009581671
Saved in:
8
Stochastic volatility with leverage : fast and efficient likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 425-449
Persistent link: https://www.econbiz.de/10003569881
Saved in:
9
Stochastic volatility : selected readings
Shephard, Neil G.
(
contributor
);
Shephard, Neil
(
ed.
)
-
2005
Persistent link: https://www.econbiz.de/10001718768
Saved in:
10
Martingale unobserved component models
Shephard, Neil G.
-
2013
Persistent link: https://www.econbiz.de/10009747434
Saved in:
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