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Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 17-30
Persistent link: https://www.econbiz.de/10010468803
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Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian; Monfort, Alain; Zakoïan, … - 2018 - Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
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Volatility estimation using a rational GARCH model
Takaishi, Tetsuya - In: Quantitative finance and economics 2 (2018) 1, pp. 127-136
Persistent link: https://www.econbiz.de/10012137901
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Bayesian inference in a stochastic volatility Nelson-Siegel model
Hautsch, Nikolaus; Yang, Fuyu - 2010
Persistent link: https://www.econbiz.de/10008906921
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Bayesian inference in a stochastic volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - 2010
In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...
Persistent link: https://www.econbiz.de/10003952795
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Estimating stochastic volatility models using integrated nested Laplace approximations
Martino, Sara; Aas, Kjersti; Lindqvist, Ola; Neef, Linda R. - In: The European journal of finance 17 (2011) 7/8, pp. 487-503
Persistent link: https://www.econbiz.de/10009509861
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Bayesian inference methods for univariate and multivariate Garch models : a survey
Virbickaite, Audrone; Ausin, M. Concepción; Galeano, Pedro - In: Journal of economic surveys 29 (2015) 1, pp. 76-96
Persistent link: https://www.econbiz.de/10011381831
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Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - In: Journal of econometrics 185 (2015) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10011339869
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Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods
Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301
Persistent link: https://www.econbiz.de/10011532802
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ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.; Kristensen, Dennis - In: Journal of empirical finance 31 (2015), pp. 85-108
Persistent link: https://www.econbiz.de/10011489408