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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

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

Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018

Persistent link: https://www.econbiz.de/10012583570

Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - 2021 - Primera edición

Persistent link: https://www.econbiz.de/10013170523

Bayesian estimation of dynamic asset pricing models with informative observations

Fulop, Andras; Li, Junye - In: Journal of econometrics 209 (2019) 1, pp. 114-138

Persistent link: https://www.econbiz.de/10012302530

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

Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532

Persistent link: https://www.econbiz.de/10011694633

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

Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2014

Persistent link: https://www.econbiz.de/10011781063

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

Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2016 - Revised 14, 30

Persistent link: https://www.econbiz.de/10011781663

Dynamic asset price jumps and the performance of high frequency tests and measures

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2017

Persistent link: https://www.econbiz.de/10011782238

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many … practical scenarios. It is very challenging, however, since the volatility is not directly observable. In this paper, a complete …

Persistent link: https://www.econbiz.de/10014362627