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The stability of factor models of interest rates
Audrino, Francesco; Barone-Adesi, Giovanni; Mira, Antonietta - In: Journal of financial econometrics : official journal of … 3 (2005) 3, pp. 422-441
Persistent link: https://www.econbiz.de/10002989126
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A Bayesian Semiparametric Multiplicative Error Model with an Application to Realized Volatility
Solgi, Reza - 2013
A semiparametric multiplicative error model (MEM) is proposed. In traditional MEM, the innovations are typically assumed to be Gamma distributed (with one free parameter that ensures unit mean of the innovations and thus identifiability of the model), however empirical investigations unveils the...
Persistent link: https://www.econbiz.de/10013089716
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Option market trading activity and the estimation of the pricing kernel : a Bayesian approach
Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; … - In: Journal of econometrics 216 (2020) 2, pp. 430-449
Persistent link: https://www.econbiz.de/10012439749
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Estimation of stochastic volatility models
Bartolucci, Francesco; De Luca, Giovanni - In: Computational methods in decision-making, economics and …, (pp. 541-556). 2010
Persistent link: https://www.econbiz.de/10009153066
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Adaptive quadrature for maximum likelihood estimation of a class of dynamic latent variable models
Cagnone, Silvia; Bartolucci, Francesco - In: Computational economics 49 (2017) 4, pp. 599-622
Persistent link: https://www.econbiz.de/10011762141