Similar Search Results

Stochastic multivariate mixture covariance model

So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10011729126

Bayesian analysis of latent threshold dynamic models

Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164

Persistent link: https://www.econbiz.de/10009754013

Multivariate rough volatility

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015326256

Proximity-structured multivariate volatility models

Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593

Persistent link: https://www.econbiz.de/10011373256

Multivariate periodic stochastic volatility models : applications to Algerian dinar exchange rates and oil prices modeling

Boussaha, Nadia; Hamdi, Faycal; Souam, Saïd - 2018

Persistent link: https://www.econbiz.de/10012240489

The multivariate fractional Ornstein-Uhlenbeck process

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015084279

Models and priors for multivariate stochastic volatility

Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - 1995 - Rev

Persistent link: https://www.econbiz.de/10000925647

Novel techniques for Bayesian inference in univariate and multivariate stochastic volatility models

Tsionas, Mike G. - 2022

In this paper we exploit properties of the likelihood function of the stochastic volatility model to show that it can …

Persistent link: https://www.econbiz.de/10014084542

The economic drivers of volatility and uncertainty

Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2020

Persistent link: https://www.econbiz.de/10012301117

Bayesian inference for long memory stochastic volatility models

Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28

volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a … methodology to estimate volatility dependency patterns for both the SP&500 index and major cryptocurrencies. We thoroughly assess …-factor extensions and apply this method to estimate volatility measurements from high-frequency data, underscoring its exceptional …

Persistent link: https://www.econbiz.de/10015272743