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Bayesian nonparametrics for financial volatility modeling
Zaharieva, Martina Danielova - 2017
Persistent link: https://www.econbiz.de/10012200829
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News impact curve for stochastic volatility models
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki - 2012
Persistent link: https://www.econbiz.de/10009618591
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The dynamic correlation and volatility of real estate price and rental : an application of MSV model
Hui, Eddie Chi Man; Zheng, Xian - In: Applied economics 44 (2012) 22/24, pp. 2985-2995
Persistent link: https://www.econbiz.de/10009616382
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Bayesian analysis of generalized autoregressive conditional heteroskedasticity and stochastic volatility : modeling leverage, jumps and heavy-tails for financial time series
Nakajima, Jouchi - In: The Japanese economic review : the journal of the … 63 (2012) 1, pp. 81-103
Persistent link: https://www.econbiz.de/10009564869
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Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
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Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - 2021 - Primera edición
Persistent link: https://www.econbiz.de/10013170523
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Forecasting stochastic volatility characteristics for the financial fossil oil market densities
Solibakke, Per Bjarte - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17
This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets … (Brent oil and WTI oil) for the period 2011-2021. The main objective is to make step ahead volatility predictions for the … important for market participants, implying predictability. The paper estimates multifactor stochastic volatility models for …
Persistent link: https://www.econbiz.de/10012794710
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Oil price shocks and economic growth : the volatility link
Maheu, John M.; Song, Yong; Yang, Qiao - In: International journal of forecasting 36 (2020) 2, pp. 570-587
Persistent link: https://www.econbiz.de/10012415259
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Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090