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Stochastic tail index model for high frequency financial data with Bayesian analysis
16 references·1 citing·36 second hop
Stochastic tail index model for high frequency financial data with Bayesian analysis (2018)Stochastic tail index model for high freq…On the Modeling of Financial Time Series (2014)On the Modeling of Financial …Modeling Financial Time Series (2013)Modeling Financial Time SeriesHandbook of Financial Time Series (2009)Handbook of Financial Time Se…Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…Extreme Value Theory (2006)Extreme Value TheoryOn leverage in a stochastic volatility model (2004)On leverage in a stochastic v…Testing for differences in the tails of stock-market returns (2003)Testing for differences in th…Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Coherent Measures of Risk (1999)Coherent Measures of RiskStochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…The Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)On the Frequency of Large Sto…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Sto…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Adaptive robust large volatility matrix estimation based on high-frequency financial data (2023)Adaptive robust large volatil…Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)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)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Financial Modelling with Jump Processes (2003)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Common Drifting Volatility in Large Bayesian VARs (2015)Measuring Uncertainty and Its Impact on the Economy (2017)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Parametric and Nonparametric Volatility Measurement (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Measuring Market Risk (2005)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Social physics (2022)Econometric Analysis of Cross Section and Panel Data (2001)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Copulas: A Personal View (2009)Extreme-Value Copulas (2010)Extreme events: dynamics, statistics and prediction (2011)The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Power Laws in Economics and Finance (2008)The detection and estimation of long memory in stochastic volatility (1998)Maximum likelihood estimation of stochastic volatility models (2006)Time-Varying Effects of Oil Supply Shocks on the US Economy (2013)
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References

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  • 1999Coherent Measures of Risk8,849 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
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  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
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2003
Testing for differences in the tails of stock-market returns
164 cited

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  • 2023Adaptive robust large volatility matrix estimation based on high-frequency financial data25 cited