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Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
16 references·1 citing·32 second hop
Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility (2009)Parameter Estimation and Practical Aspect…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Maximum likelihood estimation of stochastic volatility models (2006)Maximum likelihood estimation…Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting daily variability…On leverage in a stochastic volatility model (2004)On leverage in a stochastic v…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (1996)GMM Estimation of a Stochasti…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Modelling Financial Time Series. (1987)Modelling Financial Time Seri…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Stochastic Volatility (2009)Stochastic VolatilitySpecification Tests in Econometrics (1978)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Distribution of Stock Return Volatility (2000)A multiple indicators model for volatility using intra-daily data (2005)Parametric and Nonparametric Volatility Measurement (2010)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)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)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)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Econometric Analysis of Cross Section and Panel Data (2001)Forecasting Volatility in Financial Markets: A Review (2003)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 1987Modelling Financial Time Series.598 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
  • 2006Maximum likelihood estimation of stochastic volatility models538 cited
  • 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study467 cited
  • 2004On leverage in a stochastic volatility model411 cited

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  • 1994Bayesian Analysis of Stochastic Volatility Models388 cited
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    • 2009Stochastic Volatility33 cited