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Efficient Bayesian inference in generalized inverse Gamma processes for stochastic volatility

Leon-Gonzalez, Roberto - 2014

Persistent link: https://www.econbiz.de/10011386376

Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility

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Persistent link: https://www.econbiz.de/10012195829

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; … - 2009

Persistent link: https://www.econbiz.de/10008696134

Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy

Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; … - In: Journal of applied econometrics 28 (2013) 1, pp. 62-81

Persistent link: https://www.econbiz.de/10009733363

Approximate factor models with a common multiplicative factor for stochastic volatility

Leon-Gonzalez, Roberto; Majoni, Blessings - 2024

Persistent link: https://www.econbiz.de/10014566344

Exact likelihood for inverse gamma Stochastic Volatility models

Leon-Gonzalez, Roberto; Majoni, Blessings - 2024 - This version: April 2024

Persistent link: https://www.econbiz.de/10014574199

Approximate factor models with a common multiplicative factor for stochastic volatility

Leon-Gonzalez, Roberto; Majoni, Blessings - 2024

Persistent link: https://www.econbiz.de/10014512444

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Chan, Joshua C. C.; Doucet, Arnaud; Leon-Gonzalez, Roberto - 2018

This paper develops a new methodology that decomposes shocks into homoscedastic and heteroscedastic components. This specification implies there exist linear combinations of heteroscedastic variables that eliminate heteroscedasticity. That is, these linear combinations are homoscedastic; a...

Persistent link: https://www.econbiz.de/10014110558

Exact likelihood for inverse gamma stochastic volatility models

Leon-Gonzalez, Roberto; Majoni, Blessings - 2023

Persistent link: https://www.econbiz.de/10014330018

Exact likelihood for inverse gamma stochastic volatility models

Leon-Gonzalez, Roberto; Majoni, Blessings - 2023

Persistent link: https://www.econbiz.de/10014305848