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Stochastic volatility models : conditional normality versus heavy tailed distributions
Liesenfeld, Roman; Jung, Robert - 1997
Persistent link: https://www.econbiz.de/10000642314
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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
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Nonlinear risk
Chauvet, Marcelle; Potter, Simon M. - 1999
Persistent link: https://www.econbiz.de/10001398325
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A new estimator of the fractionally integrated stochastic volatility model
Wright, Jonathan H. - In: Economics letters 63 (1999) 3, pp. 295-303
Persistent link: https://www.econbiz.de/10001398938
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An empirical comparison of alternative stochastic volatility models
Belledin, Michael; Schlag, Christian - 1999 - Current Version: June 1, 1999
Persistent link: https://www.econbiz.de/10001403468
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Stochastic volatility in interest rates and nonlinearity in velocity
Barnett, William A. - 1996
Persistent link: https://www.econbiz.de/10001328762
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Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
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Learning dynamics in a nonlinear stochastic model of exchange rate
Chiarella, Carl; Khomin, Alexander - 1996
Persistent link: https://www.econbiz.de/10001376973
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Dynamic factor models
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001380657
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Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222