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Stochastic volatility with leverage: Fast and efficient likelihood inference · Study

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ArticleStochastic volatility with leverage: Fast and efficient likelihood inference

Yasuhiro Omori2006

OA

Articlegreen2006

Stochastic volatility with leverage: Fast and efficient likelihood inference

Yasuhiro Omori · Siddhartha Chib · Neil Shephard · Jouchi Nakajima

464 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 464 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1990Forecasting, Structural Time Series Models and the Kalman Filter 2003Financial Modelling with Jump Processes 2005Time Varying Structural Vector Autoregressions and Monetary Policy 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1998Evaluating Density Forecasts with Applications to Financial Risk Management 1994Multivariate Stochastic Variance Models

Cited by

2017Measuring Uncertainty and Its Impact on the Economy 2015Common Drifting Volatility in Large Bayesian VARs 2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices 2016Core Inflation and Trend Inflation 2014On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility 2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries 2017MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS 2009Multivariate Stochastic Volatility

Details

Year2006

Typearticle

Published2006-08-25

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations464

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2006.07.008

openalex_workW2127297724

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