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Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206

Persistent link: https://www.econbiz.de/10011300485

Multivariate stochastic volatility with dynamic cross leverage

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437486

Efficiency gains from quasi-differencing under nonstationarity

Phillips, Peter C. B.; Lee, Chin Chin - 1996

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Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - 2001

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Time inhomogenous multiple volatility modeling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95

Persistent link: https://www.econbiz.de/10002220931

Classical and Bayesian analysis of univariate and multivariate stochastic volatility models

Liesenfeld, Roman (contributor); … - 2004 - [Elektronische Ressource]

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...