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Bayesian Semiparametric Stochastic Volatility Modeling
16 references·2 citing·42 second hop
Bayesian Semiparametric Stochastic Volatility Modeling (2008)Bayesian Semiparametric Stochastic Volati…Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…On leverage in a stochastic volatility model (2004)On leverage in a stochastic v…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…The Impact of Jumps in Volatility and Returns (2001)The Impact of Jumps in Volati…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Estimation of stochastic volatility models with diagnostics (1997)Estimation of stochastic vola…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Models of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…A Compound Events Model for Security Prices (1967)A Compound Events Model for S…On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14 (2014)On the Rise of Bayesian Econo…A Bayesian semiparametric model for volatility with a leverage effect (2012)A Bayesian semiparametric mod…Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Behavior of Stock-Market Prices (1965)Measuring security price performance (1980)On estimating the expected return on the market (1980)On Jump Processes in the Foreign Exchange and Stock Markets (1988)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)The term structure of credit spreads with jump risk (2001)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Parametric and Nonparametric Volatility Measurement (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Forecasting Volatility in Financial Markets: A Review (2003)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)The variation of certain speculative prices (1997)Option pricing when underlying stock returns are discontinuous (1976)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Option values under stochastic volatility: Theory and empirical estimates (1987)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chapter 49 Arch models (1994)The detection and estimation of long memory in stochastic volatility (1998)Maximum likelihood estimation of stochastic volatility models (2006)Time-Varying Effects of Oil Supply Shocks on the US Economy (2013)
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References

  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models611 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 2004On leverage in a stochastic volatility model411 cited
  • 2001The Impact of Jumps in Volatility and Returns338 cited

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1997
Estimation of stochastic volatility models with diagnostics
287 cited

Cited by

  • 2012A Bayesian semiparametric model for volatility with a leverage effect26 cited
  • 2014On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 148 cited