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Bayesian analysis of stochastic volatility models with flexible tails
Steel, Mark F. J. - In: Econometric reviews 17 (1998) 2, pp. 109-143
Persistent link: https://www.econbiz.de/10001240681
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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 134 (2006) 2, pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
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Posterior analysis of stochastic volatility models with flexible tails
Steel, Mark F. J. - 1995
Persistent link: https://www.econbiz.de/10000915413
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Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
Osiewalski, Jacek; Pipień, Mateusz - In: Journal of econometrics 123 (2004) 2, pp. 371-391
Persistent link: https://www.econbiz.de/10002361773
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On sensitivity of inference in Bayesian MSF-MGARCH models
Osiewalski, Jacek; Pajor, Anna - In: Central European journal of economic modelling and … 11 (2019) 3, pp. 173-197
Persistent link: https://www.econbiz.de/10012294603
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Hybrid MSV-MGARCH models : general remarks and the GMSF-SBEKK specification
Osiewalski, Jacek; Osiewalski, Krzysztof - In: Central European journal of economic modelling and … 8 (2016) 4, pp. 241-271
Persistent link: https://www.econbiz.de/10011634930