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Stochastic volatility in mean : empirical evidence from stock Latin American markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; … - 2020

Persistent link: https://www.econbiz.de/10012435606

Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437483

A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting

Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389

Persistent link: https://www.econbiz.de/10011820669

High dimensional dynamic stochastic copula models

Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345

Persistent link: https://www.econbiz.de/10011504544

Simple factor realized stochastic volatility models

Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110

Persistent link: https://www.econbiz.de/10014288373

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …

Persistent link: https://www.econbiz.de/10011809984