SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A multivariate long memory stochastic volatility model
16 references·0 citing·29 second hop
A multivariate long memory stochastic volatility model (2005)A multivariate long memory stochastic vol…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Long memory in stochastic volatility (2007)Long memory in stochastic vol…Forecasting Volatility in the Financial Markets (2007)Forecasting Volatility in the…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models (1998)Multivariate stochastic volat…Time Series Models in Econometrics, Finance and Other Fields (1997)Time Series Models in Econome…Multivariate modelling of the autoregressive random variance process (1997)Multivariate modelling of the…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…5 Stochastic volatility (1996)5 Stochastic volatilityOn maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean (1994)On maximum likelihood estimat…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Modelling financial time series (1987)Modelling financial time seri…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Empirical pricing kernels (2002)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Turbulent cascades in foreign exchange markets (1996)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)The Distribution of Stock Return Volatility (2000)A multiple indicators model for volatility using intra-daily data (2005)Parametric and Nonparametric Volatility Measurement (2010)The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2003)Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)
this work references cited by second hop

References

  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 19965 Stochastic volatility1,189 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 1997Time Series Models in Econometrics, Finance and Other Fields302 cited
  • 1987Modelling financial time series282 cited
  • 2007Long memory in stochastic volatility197 cited
  • 2007Forecasting Volatility in the Financial Markets173 cited
  • 1994On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean142 cited
  • 1998Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models120 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1997
Multivariate modelling of the autoregressive random variance process
34 cited

Cited by

No citing works inside the corpus for this window.