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An empirical comparison of stochastic volatility models on stock indices

Lu, Chao - In: Waseda business & economic studies 52 (2017), pp. 1-16

Persistent link: https://www.econbiz.de/10012155217

Alternative Formulations of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors

Deschamps, Philippe J. - 2016

This paper investigates three formulations of the leverage effect in a stochastic volatility model with a skewed and heavy-tailed observation distribution. The first formulation is the conventional one, where the observation and evolution errors are correlated. The second is a hierarchical one,...

Persistent link: https://www.econbiz.de/10012998056

Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices

Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75

Persistent link: https://www.econbiz.de/10011389699

Flexible modeling of dependence in volatility processes

Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113

Persistent link: https://www.econbiz.de/10011389911

Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196

Persistent link: https://www.econbiz.de/10011378505

The time-varying effects of permanent and transistory shocks to real output

Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507

Persistent link: https://www.econbiz.de/10011308634

Business cycles and financial crises : the roles of credit supply and demand shocks

Nason, James Michael; Tallman, Ellis W. - In: Macroeconomic dynamics 19 (2015) 4, pp. 836-882

Persistent link: https://www.econbiz.de/10011309203

Inference on self-exciting jumps in prices and volatility using high frequency measures

Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2013

Persistent link: https://www.econbiz.de/10010245443

Bayesian estimation of non-Gaussian stochastic volatility models

Elabed, Asma Graja; Masmoudi, Afif - In: Journal of mathematical finance 4 (2014) 2, pp. 95-103

Persistent link: https://www.econbiz.de/10010380909

Scientific stochastic volatility models for the European carbon markets : forecasting and extracting conditional moments

Solibakke, Per Bjarte - In: International journal of business 19 (2014) 1, pp. 63-98

Persistent link: https://www.econbiz.de/10010344777

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