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Efficient high-dimensional importance sampling in mixture frameworks
Kleppe, Tore Selland; Liesenfeld, Roman - 2011
; Importance sampling ; Marginalized likelihood ; Mixture ; Monte Carlo ; Realized Volatility ; Stochastic volatility …This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of …-modal target densities. Our approach is based upon the efficient importance sampling (EIS) approach of Richard and Zhang (2007) and …
Persistent link: https://www.econbiz.de/10009382978
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Statistical methods in finance
Maddala, Gangadharrao S. (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000610528
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Modeling high dimensional time series for factors driving volatility strings
Mungo, Julius - 2009
Persistent link: https://www.econbiz.de/10003835521
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Bayesian estimation of a stochastic volatility model using option and spot prices : application of a Bivariate Kalman Filter
Forbes, Catherine Scipione; Martin, Gael M.; Wright, Jill - 2003
Persistent link: https://www.econbiz.de/10001854495
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Nonlinear time series models in empirical finance
Franses, Philip Hans; Dijk, Dick van - 2000 - 1. publ.
Persistent link: https://www.econbiz.de/10001484071
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Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999
Chan, Wai-Sum (contributor); Li, Wai Keung (contributor);  … - International Workshop on Statistics and Finance <1999, … - 2000
Persistent link: https://www.econbiz.de/10001490756
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016 - 1. Aufl. 2016
Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...
Persistent link: https://www.econbiz.de/10014018518
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Nonlinear time series models in empirical finance
Franses, Philip Hans; Dijk, Dick van - 2000
The most up-to-date and accessible guide to one of the fastest growing areas in financial analysis by one of Europes's leading teaching and researching teams. This classroom-tested advanced undergraduate and graduate textbook provides an in-depth treatment of non-linear models, including...
Persistent link: https://www.econbiz.de/10012672526
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Essays on long memory time series
Leschinski, Christian Hendrik - 2016
Persistent link: https://www.econbiz.de/10011559565
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921