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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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A Bayesian analysis of return dynamics with Lévy jumps
Li, Haitao; Wells, Martin T.; Yu, Cindy L. - In: The review of financial studies 21 (2008) 5, pp. 2345-2378
Persistent link: https://www.econbiz.de/10003765224
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
Persistent link: https://www.econbiz.de/10003770817
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Essays on Bayesian econometrics
Radchenko, Stanislav - 2002
Persistent link: https://www.econbiz.de/10003780474
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Multivariate stochastic volatility models with correlated errors
Chan, David; Kohn, Robert; Kirby, Chris - In: Econometric reviews 25 (2006) 2/3, pp. 245-274
Persistent link: https://www.econbiz.de/10003355764
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Time-varying exchange rate pass-through : experiences of some industrial countries
Sekine, Toshitaka - 2006
stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices …
Persistent link: https://www.econbiz.de/10003305303
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Long term vs. short term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien (contributor) - 2008
Persistent link: https://www.econbiz.de/10003796991
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Short rate dynamics and regime shifts
Li, Haitao; Xu, Yuewu - In: International review of finance 9 (2009) 3, pp. 211-241
Persistent link: https://www.econbiz.de/10003893641
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Predicting Markov volatility switches using monetary policy variables
Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola - In: Economics letters 95 (2007) 1, pp. 110-116
Persistent link: https://www.econbiz.de/10003448218