Linear filtering for asymmetric stochastic volatility models
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 92 (2006)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/ecolet
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- Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994.
"Multivariate Stochastic Variance Models,"
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- Tom Doan, . "RATS programs to estimate multivariate stochastic volatility models," Statistical Software Components RTZ00093, Boston College Department of Economics.
- Jeff Fleming & Chris Kirby, 2003. "A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 365-419.
- Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
- Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
- Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
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