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Volatility
Bayesian
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171
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133
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127
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89
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69
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Mertens, Elmar
3
Nason, James Michael
3
Pozzi, Lorenzo
2
Ankargren, Sebastian
1
Berger, Tino
1
Cacace, Filippo
1
Chan, Joshua
1
Chaovanapoonphol, Yaovarate
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
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On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Cacace, Filippo
;
Germani, Alfredo
;
Papi, Marco
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 503-525
Persistent link: https://www.econbiz.de/10012127257
Saved in:
2
Regime-switching energy price volatility : the role of economic policy uncertainty
Scarcioffolo, Alexandre Ribeiro
;
Etienne, Xiaoli Liao
- In:
International review of economics & finance : IREF
76
(
2021
),
pp. 336-356
Persistent link: https://www.econbiz.de/10013175825
Saved in:
3
Novel techniques for
Bayesian
inference in univariate and multivariate stochastic volatility models
Tsionas, Efthymios G.
-
2022
Persistent link: https://www.econbiz.de/10013193282
Saved in:
4
Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods
Hok, Julien
;
Tan, Shih-Hau
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
Saved in:
5
The day-of-the-week effect on Bitcoin return and volatility
Ma, Donglian
;
Tanizaki, Hisashi
- In:
Research in international business and finance
49
(
2019
),
pp. 127-136
Persistent link: https://www.econbiz.de/10012136001
Saved in:
6
Is there really a global business cycle? : a dynamic factor model with stochastic factor selection
Berger, Tino
;
Pozzi, Lorenzo
-
2016
, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a
Bayesian
stochastic factor selection …
Persistent link: https://www.econbiz.de/10011556201
Saved in:
7
Composite
likelihood
methods for large
Bayesian
VARs with stochastic volatility
Chan, Joshua
;
Eisenstat, Eric
;
Hou, Chenghan
;
Koop, Gary
-
2018
Persistent link: https://www.econbiz.de/10012202274
Saved in:
8
Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals : a new approach
Pozzi, Lorenzo
;
Sadaba, Barbara
- In:
Macroeconomic dynamics
24
(
2020
)
4
,
pp. 951-994
Persistent link: https://www.econbiz.de/10012241042
Saved in:
9
Identification of business cycles and the Great Moderation in the post-war U.S. economy
Jiang, Yu
- In:
Economics letters
190
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012228144
Saved in:
10
Inflation and professional forecast dynamics : an evaluation of stickiness, persistence, and volatility
Mertens, Elmar
;
Nason, James Michael
-
2017
-
Revised version
Persistent link: https://www.econbiz.de/10011746888
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