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Multivariate stochastic volatility
Chib, Siddhartha; Omori, Yasuhiro; Asai, Manabu - In: Handbook of financial time series, (pp. 365-400). 2009
Persistent link: https://www.econbiz.de/10003833972
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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
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Likelihood inference for discretely observed non-linear diffusions
Elerian, Ola; Chib, Siddhartha; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581671
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Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002365024
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Likelihood based inference for diffusion driven models
Chib, Siddhartha (contributor); Pitt, Michael K. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002459152
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Stochastic volatility with leverage : fast likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - 2004
Persistent link: https://www.econbiz.de/10002396452
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Likelihood based inference for diffusion driven models
Chib, Siddhartha (contributor); Pitt, Michael K. (contributor) - 2004
Persistent link: https://www.econbiz.de/10002396486
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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
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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
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High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction
Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020
Persistent link: https://www.econbiz.de/10012373015