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Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis

Szerszen, Pawel J. - 2009

Persistent link: https://www.econbiz.de/10003932677

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

Application of the generalized method of moments for estimating continuous-time models of U.S. short-term interest rates

Cserna, Balázs - 2008

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias … reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find … that an alternative estimation based on NOWMAN (1997) does not sufficiently solve the problem of time aggregation. We …

Persistent link: https://www.econbiz.de/10003747325

Estimation of the stochastic volatility by Markov Chain Monte Carlo

Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998

Persistent link: https://www.econbiz.de/10001301445

Statistical inference for time-inhomogeneous volatility models

Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002

Persistent link: https://www.econbiz.de/10001697768

Stochastic estimation of firm technology, inefficiency, and productivity growth using shadow cost and distance functions

Atkinson, Scott Estes; Primont, Daniel A. - In: Journal of econometrics 108 (2002) 2, pp. 203-225

Persistent link: https://www.econbiz.de/10001657607

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210

Persistent link: https://www.econbiz.de/10001636757

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - 2001

Persistent link: https://www.econbiz.de/10001606888

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002011289

Statistical estimation and moment evaluation of a stochastic growth model with asset market restrictions

Lettau, Martin; Gong, Gang; Semmler, Willi - In: Journal of economic behavior & organization : JEBO 44 (2001) 1, pp. 85-103

Persistent link: https://www.econbiz.de/10001531911

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