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Stochastic Volatility Models as Hidden Markov Models and Statistical Applications

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References

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2007Nonparametric Estimation of Expected Shortfall153 cited
2005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns148 cited
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2008ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS135 cited
2005Diffusion-type models with given marginal distribution and autocorrelation function129 cited
2000Prediction‐based estimating functions121 cited
2000Non-Gaussian OU based models and some of their uses in financial economics112 cited
2008

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ANOVA FOR DIFFUSIONS AND ITO PROCESSES1

105 cited

2010Estimating Functions for Discretely Sampled Diffusion-Type Models99 cited

2009Nonlinearity and temporal dependence95 cited

2009Structural Breaks in Financial Time Series92 cited

2012The econometrics of high-frequency data90 cited

2004Inference for Observations of Integrated Diffusion Processes71 cited