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Simple estimators and inference for higher-order stochastic volatility models

Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197

Persistent link: https://www.econbiz.de/10013275370

Bayesian estimation for high-frequency volatility models in a time deformed framework

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A simple efficient moment-based estimator for the stochastic volatility model

Ahsan, Nazmul; Dufour, Jean-Marie - 2019

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Prediction of stock price movement using continuous time models

Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191

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Box-Cox stochastic volatility models with heavy-tails and correlated errors

Zhang, Xibin; King, Maxwell L. - In: Journal of empirical finance 15 (2008) 3, pp. 549-566

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Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …