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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications

Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - 2018

Persistent link: https://www.econbiz.de/10011891048

Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry

Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51

Persistent link: https://www.econbiz.de/10013490951

Particle learning for Bayesian semi-parametric stochastic volatility model

Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - In: Econometric reviews 38 (2019) 9, pp. 1007-1023

Persistent link: https://www.econbiz.de/10012181379

Scalable inference for a full multivariate stochastic volatility model

Dellaportas, Petros; Titsias, Michalis K.; Petrova, Katerina - In: Journal of econometrics 232 (2023) 2, pp. 501-520

Persistent link: https://www.econbiz.de/10014340078

A common jump factor stochastic volatility model

Laurini, Márcio Poletti; Mauad, Roberto Baltieri - In: Finance research letters 12 (2015), pp. 2-10

Persistent link: https://www.econbiz.de/10011551744

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Persistent link: https://www.econbiz.de/10011327834

Forecasting volatility using realized stochastic volatility model with time-varying leverage effect

Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436997

Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets

Fileccia, Gaetano; Sgarra, Carlo - In: International journal of computational economics and … 5 (2015) 4, pp. 451-479

Persistent link: https://www.econbiz.de/10011440890

Bayesian dynamic modeling of high-frequency integer price changes

Barra, Istvan; Koopman, Siem Jan - 2016

We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian … estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price … distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intra-day periodic …

Persistent link: https://www.econbiz.de/10011456723

Bayesian dynamic modeling of high-frequency integer price changes

Barra, István; Borowska, Agnieszka; Koopman, Siem Jan - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 384-424

Persistent link: https://www.econbiz.de/10011987788