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Haas, Markus (contributor); Mittnik, Stefan (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003351679

Analyzing associations in multivariate binary time series

Fried, Roland (contributor); Kuhls, Silvia (contributor); … - 2006

We analyze multivariate binary time series using a mixed parameterization in terms of the conditional expectations given the past and the pairwise canonical interactions among contemporaneous variables. This allows consistent inference on the influence of past variables even if the...

Persistent link: https://www.econbiz.de/10003354433

Multivariate stochastic volatility : a review

Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric reviews 25 (2006) 2/3, pp. 145-175

Persistent link: https://www.econbiz.de/10003355704

Continuous time Wishart process for stochastic risk

Gouriéroux, Christian - In: Econometric reviews 25 (2006) 2/3, pp. 177-217

Persistent link: https://www.econbiz.de/10003355729

Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models

Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360

Persistent link: https://www.econbiz.de/10003355771

Monte Carlo likelihood estimation for three multivariate stochastic volatility models

Jungbacker, Borus; Meyer, Renate; Koopman, Siem Jan - In: Econometric reviews 25 (2006) 2/3, pp. 385-408

Persistent link: https://www.econbiz.de/10003355799

A range-based multivariate stochastic volatility model for exchange rates

Tims, Ben; Mahieu, Ronald J. - In: Econometric reviews 25 (2006) 2/3, pp. 409-424

Persistent link: https://www.econbiz.de/10003355802

Consistent information multivariate density optimizing methodology

Segoviano Basurto, Miguel Angel (contributor) - 2006

Persistent link: https://www.econbiz.de/10003358693

Interplay between distributional and temporal dependence : an empirical study with high-frequency asset returns

Bingham, Nick H.; Schmidt, Rafael - In: From stochastic calculus to mathematical finance : the …, (pp. 69-90). 2006

Persistent link: https://www.econbiz.de/10003287150

High-breakdown inference for mixed linear models

Copt, Samuel; Victoria-Feser, Maria-Pia - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 292-300

Persistent link: https://www.econbiz.de/10003309711

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