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A threshold stochastic volatility model with explanatory variables
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A threshold stochastic volatility model with explanatory variables (2018)A threshold stochastic volatility model w…Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (1999)Efficient method of moments e…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Sensitivity of the bank stock…Estimation of stochastic volatility models via Monte Carlo maximum likelihood (1998)Estimation of stochastic vola…GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study (1996)GMM Estimation of a Stochasti…Stochastic volatility in asset prices estimation with simulated maximum likelihood (1994)Stochastic volatility in asse…Quasi-maximum likelihood estimation of stochastic volatility models (1994)Quasi-maximum likelihood esti…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …No news is good news (1992)No news is good newsStock Returns and Volatility (1990)Stock Returns and VolatilityGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)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)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Parametric and Nonparametric Volatility Measurement (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Econometric Analysis of Cross Section and Panel Data (2001)Nonparametric Pricing of Interest Rate Derivative Securities (1995)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily (2001)On testing overidentifying restrictions in dynamic panel data models (2002)Nonstationary panels, cointegration in panels and dynamic panels: A survey (2004)Multivariate Stochastic Volatility: A Review (2006)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)
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References

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251 cited
  • 1999Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study220 cited
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