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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture

Huang, Jing-Zhi; Xu, Li - In: The quarterly journal of finance 4 (2014) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10010473521

Estimating stochastic volatility with jumps and asymmetry in Asian markets

Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153

Persistent link: https://www.econbiz.de/10012003495

Forecasting distress in cooperative banks : the role of asset quality

Forgione, Antonio Fabio; Migliardo, Carlo - In: International journal of forecasting 34 (2018) 4, pp. 678-695

Persistent link: https://www.econbiz.de/10012031082

A stochastic volatility model with realized measures for option pricing

Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 856-871

Persistent link: https://www.econbiz.de/10012313375

Modeling the stochastic volatility of MAD/EURO and MAD/USD the exchange rates by the Bayesian approach and the MCMC (Monte Carlo Markov Chain) algorithm

Zakaria, Firano; Benbachir, Anass - In: Journal of modelling in management 18 (2023) 5, pp. 1498-1528

Persistent link: https://www.econbiz.de/10014380957

Bayesian Markov Switching Stochastic Correlation Models

Casarin, Roberto; Tronzano, Marco; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013

This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...

Persistent link: https://www.econbiz.de/10010662864