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Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence
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Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence (2013)Estimation of Stochastic Volatility Model…Moving average stochastic volatility models with application to inflation forecast (2013)Moving average stochastic vol…A New Model of Trend Inflation (2013)A New Model of Trend InflationStochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures (2010)Stochastic volatility models …Leverage, heavy-tails and correlated jumps in stochastic volatility models (2008)Leverage, heavy-tails and cor…Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey (2015)The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling (2015)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Stochastic Variance Models (1994)On generalised asymmetric stochastic volatility models (2011)Realized stochastic volatility with leverage and long memory (2013)Volatility predictability in crude oil futures: Evidence based on OVX, GARCH and stochastic volatility models (2023)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Impact of Jumps in Volatility and Returns (2003)Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions (2009)Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility (2011)Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence (2014)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Financial Modelling with Jump Processes (2003)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Common Drifting Volatility in Large Bayesian VARs (2015)Measuring Uncertainty and Its Impact on the Economy (2017)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Forecasting structural change and fat-tailed events in Australian macroeconomic variables (2016)A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output (2017)Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models (2019)
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References

  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2013Moving average stochastic volatility models with application to inflation forecast144 cited
  • 2013A New Model of Trend Inflation110 cited
  • 2008Leverage, heavy-tails and correlated jumps in stochastic volatility models99 cited
  • 2010Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures48 cited

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