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Modelling stochastic volatility using generalizedtdistribution
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Modelling stochastic volatility using generalizedtdistribution (2011)Modelling stochastic volatility using gen…Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions (2009)Robust Bayesian analysis of h…Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models (2007)Autoregressive stochastic vol…MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model (2004)MCMC Bayesian Estimation of a…Deviance Information Criterion for Comparing Stochastic Volatility Models (2004)Deviance Information Criterio…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Stochastic volatility models: conditional normality versus heavy-tailed distributions (2000)Stochastic volatility models:…BUGS for a Bayesian analysis of stochastic volatility models (2000)BUGS for a Bayesian analysis …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Forecasting, structural time series models and the Kalman filter (1990)Forecasting, structural time …The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75 (1982)Financial returns modelled by…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Forecasting Volatility in Financial Markets: A Review (2003)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Persistence and Kurtosis in GARCH and Stochastic Volatility Models (2004)Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (2006)Dealing with Stochastic Volatility in Time Series Using the R Package stochvol (2016)A Stochastic Volatility Model With Markov Switching (1998)Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Estimation methods for stochastic volatility models: a survey (2004)Model Selection Methods for Mixture Dichotomous IRT Models (2009)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)
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References

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  • 2009Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions89 cited
  • 2007Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models48 cited

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  • 2004MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model29 cited
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