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Univariate and multivariate stochastic volatility models: estimation and diagnostics

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Liesenfeld, Roman
Richard, Jean-Francois
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 10 (2003)
Issue (Month): 4 (September)
Pages: 505-531
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Handle: RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531

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  1. Chris M Strickland & Gael Martin & Catherine S Forbes, 2006. "Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models," Monash Econometrics and Business Statistics Working Papers 22/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  2. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
  3. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005. [Downloadable!]
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  4. Jean-Francois Richard & Roman Liesenfeld, 2007. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Working Papers 322, University of Pittsburgh, Department of Economics, revised Jan 2004. [Downloadable!]
  5. Frank Gerhard & Nikolaus Hautsch, 2006. "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers 2006/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
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  6. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics. [Downloadable!]
  7. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference," SFB 649 Discussion Papers SFB649DP2008-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  8. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics. [Downloadable!]
  9. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Working Papers 0505, VCU School of Business, Department of Economics. [Downloadable!]
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  10. Jung, Robert & Kukuk, Martin & Liesenfeld, Roman, 2005. "Time Series of Count Data : Modelling and Estimation," Economics working papers 2005,08, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  11. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
  12. Vasyl Golosnoy, 2007. "Sequential monitoring of minimum variance portfolio," AStA Advances in Statistical Analysis, Springer, vol. 91(1), pages 39-55, March. [Downloadable!] (restricted)
  13. Ingmar Nolte & Valeri Voev, 2007. "Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market¤," CoFE Discussion Paper 07-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  14. Kai Lee & Siem Jan Koopman, 2004. "Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1210-1210. [Downloadable!] (restricted)
  15. Liesenfeld, Roman & Richard, Jean-François, 2006. "Improving MCMC Using Efficient Importance Sampling," Economics working papers 2006,05, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  16. Kleppe, Tore Selland & Skaug, Hans J., 2008. "Simulated maximum likelihood for general stochastic volatility models: a change of variable approach," MPRA Paper 12022, University Library of Munich, Germany. [Downloadable!]
  17. Liesenfeld, Roman & Richard, Jean-François, 2004. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Economics working papers 2004,12, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  18. Perry Sadorsky, 2005. "Stochastic volatility forecasting and risk management," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 121-135, January. [Downloadable!] (restricted)
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