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Estimation of asymmetric stochastic volatility models for stock-exchange index returns

Del Carmen García Centeno, María; Minguez Salido, Román - In: International advances in economic research : IAER ; an … 15 (2009) 1, pp. 71-87

Persistent link: https://www.econbiz.de/10003813391

Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - 2021 - Primera edición

Persistent link: https://www.econbiz.de/10013170523

An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns

Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173

Persistent link: https://www.econbiz.de/10012035007

Stochastic volatility in mean : empirical evidence from stock Latin American markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; … - 2020

Persistent link: https://www.econbiz.de/10012435606

Stabilizing instability-suboptimality-and-chaos-prone fluctuations at crisis junctures : stochastic possibilities for crisis management

Kara, Ahmet - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1772-1786

Persistent link: https://www.econbiz.de/10014253448

Panel estimation of state dependent adjustment when the target is unobserved

von Kalckreuth, Ulf - 2008

Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...

Persistent link: https://www.econbiz.de/10010295881