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Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
16 references·0 citing·36 second hop
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
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  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited
  • 1995Automatic Lag Selection in Covariance Matrix Estimation481 cited
  • 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study467 cited
  • 1994Stochastic volatility in asset prices estimation with simulated maximum likelihood394 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models388 cited
  • 2005Analysis of high dimensional multivariate stochastic volatility models345 cited
  • 1994Quasi-maximum likelihood estimation of stochastic volatility models313 cited
  • 1997Estimation of stochastic volatility models with diagnostics287 cited
  • 1999Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study

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220 cited
  • 2004Persistence and Kurtosis in GARCH and Stochastic Volatility Models208 cited
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