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Multivariate Stochastic Volatility Models with Correlated Errors
16 references·5 citing·35 second hopsampled
Multivariate Stochastic Volatility Models with Correlated Errors (2006)Multivariate Stochastic Volatility Models…Analysis of high dimensional multivariate stochastic volatility models (2005)Analysis of high dimensional …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…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Emerging equity market volatility (1997)Emerging equity market volati…Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns (1996)Estimation of an Asymmetric S…Good News, Bad News, Volatility, and Betas (1995)Good News, Bad News, Volatili…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…No news is good news (1992)No news is good newsNo News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns (1991)No News is Good News: An Asym…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets (2016)A Bayesian Markov-Switching C…Matrix exponential stochastic volatility with cross leverage (2014)Matrix exponential stochastic…Multivariate stochastic volatility, leverage and news impact surfaces (2009)Multivariate stochastic volat…Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility (2009)Bayesian Analysis for Hybrid …Applications of State Space Models in finance (2009)Applications of State Space M…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1992No news is good news1,929 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited
  • 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns623 cited
  • 1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns461 cited
  • 2004On leverage in a stochastic volatility model411 cited
  • 1995Good News, Bad News, Volatility, and Betas406 cited

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2005
Analysis of high dimensional multivariate stochastic volatility models
345 cited

Cited by

  • 2016A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets32 cited
  • 2009Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility28 cited
  • 2009Multivariate stochastic volatility, leverage and news impact surfaces28 cited
  • 2009Applications of State Space Models in finance26 cited
  • 2014Matrix exponential stochastic volatility with cross leverage25 cited