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Bayesian estimation of persistent income inequality using the lognormal stochastic volatility model

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Persistent link: https://www.econbiz.de/10009728880

A random walk stochastic volatility model for income inequality

Nishino, Haruhisa; Kakamu, Kazuhiko - In: Japan and the world economy : international journal of … 36 (2015), pp. 21-28

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Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model

Kunimoto, Noriyuki; Kakamu, Kazuhiko - In: Applied economics 54 (2022) 57, pp. 6536-6550

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Structuring volatile swiss interest rates : reconciling economic theory with empirical evidence?

Kunst, Robert M.; Polasek, Wolfgang - 1991

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Portfolio constructions with Bayesian GARCH forecasts

Polasek, Wolfgang; Momtchil, M. - In: Operations research proceedings 2000 : selected papers …, (pp. 119-126). 2001

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Value at risk estimation for stock indices using the Basle committee proposal from 1995

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Persistent link: https://www.econbiz.de/10001537678

Portfolio construction by volatility forecasts : does the covariance structure matter? Momtchil Pojarliev and Wolfgang Polasek

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Persistent link: https://www.econbiz.de/10001929876

The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?

Oga, Takashi; Polasek, Wolfgang - 2010

Persistent link: https://www.econbiz.de/10008661121

Volatility analysis during the Asia crisis : a multivariate GARCH-M model for stock returns in the US, Germany and Japan

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The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?

Oga, Takashi; Polasek, Wolfgang - 2010

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...

Persistent link: https://www.econbiz.de/10009733810