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Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
16 references·7 citing·38 second hop
Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions (2009)Robust Bayesian analysis of heavy-tailed …On the Modeling of Financial Time Series (2014)On the Modeling of Financial …Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…On leverage in a stochastic volatility model (2004)On leverage in a stochastic v…Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…The variation of certain speculative prices (1997)The variation of certain spec…5 Stochastic volatility (1996)5 Stochastic volatilityBayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Pricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Portfolio Analysis in a Stable Paretian Market (1965)Portfolio Analysis in a Stabl…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets (2021)Approximate Bayesian Estimati…Specification tests for time-varying parameter models with stochastic volatility (2016)Specification tests for time-…Online system for the construction of structural models of information flows (2015)Online system for the constru…Bayesian Estimation of a Skew-Student-t Stochastic Volatility Model (2013)Bayesian Estimation of a Skew…Modelling stochastic volatility using generalizedtdistribution (2011)Modelling stochastic volatili…Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility (2011)Bayesian Nonparametric Modell…Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures (2010)Stochastic volatility models …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)An Intertemporal General Equilibrium Model of Asset Prices (1985)The Pricing of Options on Assets with Stochastic Volatilities (1987)All in the family Nesting symmetric and asymmetric GARCH models (1995)Predicting Volatility in the Foreign Exchange Market (1995)Statistical aspects of ARCH and stochastic volatility (1996)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)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)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)The Pricing of Options and Corporate Liabilities (1973)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)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 1965Portfolio Analysis in a Stable Paretian Market468 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2004On leverage in a stochastic volatility model411 cited

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  • 2014On the Modeling of Financial Time Series387 cited
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    • 2016Specification tests for time-varying parameter models with stochastic volatility34 cited
    • 2021Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets32 cited
    • 2011Modelling stochastic volatility using generalizedtdistribution25 cited
    • 2015Online system for the construction of structural models of information flows10 cited