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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

Stochastic volatility with leverage : fast likelihood inference

Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - 2004

Persistent link: https://www.econbiz.de/10002396452

Likelihood based inference for diffusion driven models

Chib, Siddhartha (contributor); Pitt, Michael K. (contributor) - 2004

Persistent link: https://www.econbiz.de/10002396486

Stochastic volatility with leverage : fast likelihood inference

Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002365024

Likelihood based inference for diffusion driven models

Chib, Siddhartha (contributor); Pitt, Michael K. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002459152

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

Likelihood inference for discretely observed non-linear diffusions

Elerian, Ola; Chib, Siddhartha; Shephard, Neil G. - 2000

Persistent link: https://www.econbiz.de/10009581671

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

Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models

Chib, Siddhartha; Shephard, Neil; Nardari, Federico - 2001

This paper is concerned with simulation based inference in generalized models of stochastic volatility defined by heavy-tailed student-t distributions (with unknown degrees of freedom) and covariate effects in the observation and volatility equations and a jump component in the observation...

Persistent link: https://www.econbiz.de/10014142429

Stochastic volatility : selected readings

Shephard, Neil G. (contributor); Shephard, Neil (ed.) - 2005

Persistent link: https://www.econbiz.de/10001718768