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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors · Study

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ArticleBayesian analysis of stochastic volatility models with fat-tails and correlated errors

Eric Jacquier A2003

Article2003

Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

Eric Jacquier A · Nicholas G. Polson · Peter E. Rossi

633 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 — 633 citations exist upstream.

References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1992ARCH modeling in finance 1987The Pricing of Options on Assets with Stochastic Volatilities 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2002Bayesian Analysis of Stochastic Volatility Models 1998Implied Volatility Functions: Empirical Tests

Cited by

2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis 2010Parametric and Nonparametric Volatility Measurement 2006Stochastic volatility with leverage: Fast and efficient likelihood inference 2006CAPM over the long run: 1926–2001 2004On leverage in a stochastic volatility model 2006Multivariate Stochastic Volatility: A Review 2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY 2014Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility

Details

Year2003

Typearticle

Published2003-12-31

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations633

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2003.09.001

openalex_workW2144246192

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