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Stochastic multivariate mixture covariance model

So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10011729126

Particle efficient importance sampling

Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10011591626

Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture

Wu, Frank C. Z. - In: Journal of applied econometrics 39 (2024) 4, pp. 697-704

Persistent link: https://www.econbiz.de/10014562850

Numerically accelerated importance sampling for nonlinear non-Gaussian state space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012

refer to our new method as numerically accelerated importance sampling. The method is computationally and numerically …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …

Persistent link: https://www.econbiz.de/10011386179

Stochastic volatility and leverage : application to a panel of S&P500 stocks

Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76

Persistent link: https://www.econbiz.de/10011552253

A triple-threshold leverage stochastic volatility model

Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500

Persistent link: https://www.econbiz.de/10011339413

Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360

Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks

Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584

Persistent link: https://www.econbiz.de/10011431022

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

Volatility and GMM : Monte Carlo studies and empirical estimations

Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321

Persistent link: https://www.econbiz.de/10001401125

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