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Models and Priors for Multivariate Stochastic Volatility
7 references·1 citing·28 second hop
Models and Priors for Multivariate Stochastic Volatility (1995)Models and Priors for Multivariate Stocha…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…5 Stochastic volatility (1996)5 Stochastic volatilityStochastic volatility in asset prices estimation with simulated maximum likelihood (1994)Stochastic volatility in asse…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…ARCH modeling in finance (1992)ARCH modeling in financePricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities (2002)Comovements and Contagion in …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)An Intertemporal General Equilibrium Model of Asset Prices (1985)The Pricing of Options on Assets with Stochastic Volatilities (1987)All in the family Nesting symmetric and asymmetric GARCH models (1995)Predicting Volatility in the Foreign Exchange Market (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Forecasting Volatility in Financial Markets: A Review (2003)Statistical aspects of ARCH and stochastic volatility (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching (2015)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes (2002)AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)Multivariate Stochastic Volatility: A Review (2006)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)
this work references cited by second hop

References

  • 1992ARCH modeling in finance4,288 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 19965 Stochastic volatility1,189 cited
  • 1990Pricing foreign currency options with stochastic volatility749 cited
  • 1994Stochastic volatility in asset prices estimation with simulated maximum likelihood394 cited

Cited by

  • 2002Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities31 cited

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