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Financial Returns Modelled by the Product of Two Stochastic Processes—A Study of Daily Sugar Prices, 1961–79
0 references·16 citing·44 second hopsampled
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  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,808 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2002New frontiers for arch models739 cited
  • 2007Testing Forecast Optimality Under Unknown Loss169 cited
  • 2016Dealing with Stochastic Volatility in Time Series Using the R Package stochvol135 cited
  • 2011Stochastic Volatility in General Equilibrium113 cited
  • 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes92 cited
  • 2006Stochastic Conditional Intensity Processes91 cited
  • 2006Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models81 cited
  • 2011Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility56 cited
  • 2015Financial time series volatility analysis using Gaussian process state-space models52 cited
  • 2005Volatility Transmission Models: A Survey46 cited
  • 2001Jumps and time-varying correlations in daily foreign exchange rates38 cited
  • 2010Stochastic volatility models37 cited

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2013
A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
34 cited
  • 2010Forecasting accuracy of stochastic volatility, GARCH and EWMA models under different volatility scenarios34 cited