SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets
16 references·1 citing·35 second hop
Approximate Bayesian Estimation of Stochastic Volatility in Mean Models using Hidden Markov Models: Empirical Evidence from Stock Latin American Markets (2021)Approximate Bayesian Estimation of Stocha…The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling (2015)The Stochastic Volatility in …Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2009)Long-Memory and Level Shifts …Financial Returns Modelled by the Product of Two Stochastic Processes—A Study of Daily Sugar Prices, 1961–79 (2005)Financial Returns Modelled by…Persistence and Kurtosis in GARCH and Stochastic Volatility Models (2004)Persistence and Kurtosis in G…Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…The stochastic volatility in mean model: empirical evidence from international stock markets (2002)The stochastic volatility in …Long memory and regime switching (2001)Long memory and regime switch…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…5 Stochastic volatility (1996)5 Stochastic volatilityModeling Volatility Dynamics (1995)Modeling Volatility DynamicsMODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…No news is good news (1992)No news is good newsARCH modeling in finance (1992)ARCH modeling in financeWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Expected stock returns and volatility (1987)Expected stock returns and vo…Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75 (1982)Financial returns modelled by…COVID-19 and Gender Differences in the Labor Market: Evidence from the Peruvian Economy (2022)COVID-19 and Gender Differenc…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Turbulent cascades in foreign exchange markets (1996)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)The detection and estimation of long memory in stochastic volatility (1998)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Chapter 8 Growth Econometrics (2005)Volatility Is Rough (2018)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Cross‐Section of Volatility and Expected Returns (2006)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting Volatility in Financial Markets: A Review (2003)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)Empirical pricing kernels (2002)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)A Stochastic Volatility Model With Markov Switching (1998)Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Deviance Information Criterion for Comparing Stochastic Volatility Models (2004)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)
this work references cited by second hop

References

  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1992No news is good news1,929 cited
  • 19965 Stochastic volatility1,189 cited
  • 2001Long memory and regime switching1,162 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited
  • 1982Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75326 cited
  • 2004Persistence and Kurtosis in GARCH and Stochastic Volatility Models208 cited
  • 2002The stochastic volatility in mean model: empirical evidence from international stock markets195 cited
  • 2009Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices169 cited
  • 2015The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling152 cited
  • 1995Modeling Volatility Dynamics152 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2005
Financial Returns Modelled by the Product of Two Stochastic Processes—A Study of Daily Sugar Prices, 1961–79
151 cited

Cited by

  • 2022COVID-19 and Gender Differences in the Labor Market: Evidence from the Peruvian Economy19 cited