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Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models
Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360
Persistent link: https://www.econbiz.de/10003355771
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Classical and Bayesian analysis of univariate and multivariate stochastic volatility models
Liesenfeld, Roman (contributor);  … - 2004 - [Elektronische Ressource]
In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...
Persistent link: https://www.econbiz.de/10002476893
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Analytical quasi maximum likelihood inference in multivariate volatility models
Hafner, Christian M. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001784026
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Hawkes-based models for high frequency financial data
Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185
Persistent link: https://www.econbiz.de/10013532430
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A closed-form solution for the stochastic volatility model with applications on international stock markets
Shi, Yanlin - In: Journal of the Operational Research Society 74 (2023) 4, pp. 1183-1197
Persistent link: https://www.econbiz.de/10014334888
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The volatility of mortality
Bauer, Daniel; Börger, Matthias; Ruß, Jochen; … - 2008
Persistent link: https://www.econbiz.de/10003638564
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Modelling stochastic volatility with leverage and jumps : a simulated maximum likelihood approach via particle filtering.
Malik, Sheheryar (contributor); Pitt, Michael K. (contributor) - 2009
In this paper we provide a unifed methodology in order to conduct likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...
Persistent link: https://www.econbiz.de/10003866080
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Estimating functions for discretely sampled diffusion-type models
Bibby, Bo Martin; Jacobsen, Martin; Sørensen, Michael - 2010
Persistent link: https://www.econbiz.de/10003900641
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MCMC maximum likelihood for latent state models
Jacquier, Eric; Johannes, Michael; Polson, Nicholas G. - In: Journal of econometrics 137 (2007) 2, pp. 615-640
Persistent link: https://www.econbiz.de/10003442024
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Most efficient homogeneous volatility estimators
Saičev, Aleksandr I.; Sornette, Didier; Filimonov, Vladimir - 2009
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The … main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time …
Persistent link: https://www.econbiz.de/10003971110