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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
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An improved Bayesian unit root test in stochastic volatility models
Li, Yong; Yu, Jun - In: Annals of economics and finance 20 (2019) 1, pp. 103-122
Persistent link: https://www.econbiz.de/10012110029
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012203994
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Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
León-González, Roberto - In: Econometric reviews 38 (2019) 8, pp. 899-920
Persistent link: https://www.econbiz.de/10012181373
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Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos; Kolossiatis, Michalis - In: Econometric reviews 39 (2020) 4, pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
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Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
Leon-Gonzalez, Roberto - 2015
Persistent link: https://www.econbiz.de/10012195829
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Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
León-González, Roberto - 2018
Persistent link: https://www.econbiz.de/10012196629
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Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10012196752
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Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
Dimitrakopoulos, Stefanos - In: Economics letters 150 (2017), pp. 10-14
Persistent link: https://www.econbiz.de/10011761750