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Bayesian Analysis of a Markov Switching Stochastic Volatility Model
16 references·0 citing·42 second hopsampled
Bayesian Analysis of a Markov Switching Stochastic Volatility Model (2005)Bayesian Analysis of a Markov Switching S…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods (2000)Measuring business cycles wit…Identifying Bull and Bear Markets in Stock Returns (2000)Identifying Bull and Bear Mar…Identifying Bull and Bear Markets in Stock Returns (2000)Identifying Bull and Bear Mar…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching (1998)Business Cycle Turning Points…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …A Stochastic Volatility Model With Markov Switching (1998)A Stochastic Volatility Model…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Stochastic volatility in asset prices estimation with simulated maximum likelihood (1994)Stochastic volatility in asse…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Empirical Modeling of Exchange Rate Dynamics (1988)Empirical Modeling of Exchang…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Stock market volatility and the business cycle (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)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)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Term Structure of Interest Rates with Regime Shifts (2002)Regime Changes and Financial Markets (2012)The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model (2017)Measuring Business Cycles (1947)New Indexes of Coincident and Leading Economic Indicators (1989)Chapter 10 Forecasting with Many Predictors (2006)Dynamic Factor Models (2012)Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)International Asset Allocation With Regime Shifts (2002)Option pricing when underlying stock returns are discontinuous (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)Tails, Fears, and Risk Premia (2011)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)On estimating the expected return on the market (1980)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)Testing for the Constancy of Parameters Over Time (1989)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1998Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching470 cited
  • 1994Stochastic volatility in asset prices estimation with simulated maximum likelihood394 cited
  • 2000Identifying Bull and Bear Markets in Stock Returns320 cited
  • 1988Empirical Modeling of Exchange Rate Dynamics287 cited
  • 2000Identifying Bull and Bear Markets in Stock Returns

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229 cited
  • 1998A Stochastic Volatility Model With Markov Switching208 cited
  • 2000Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods87 cited
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