• NEP-ALL-2004-12-12 (All new papers)
• NEP-ECM-2004-12-12 (Econometrics)
• NEP-ETS-2004-12-12 (Econometric Time Series)
• NEP-FIN-2004-12-15 (Finance)
• NEP-FIN-2004-12-12 (Finance)

1. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
2. Stroud J.R. & Muller P. & Polson N.G., 2003. "Nonlinear State-Space Models With State-Dependent Variances," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 377-386, January. [Downloadable!] (restricted)
3. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241. [Downloadable!] (restricted)
4. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
   Other versions:
   • Koopman, S.J. & Shephard, N. & Doornik, J.A., 1998. "Statistical algorithms for models in state space using ssfpack 2.2," Discussion Paper 141, Tilburg University, Center for Economic Research. [Downloadable!]
5. Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
   Other versions:
   • Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
   • Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Working Papers 13-2004, Singapore Management University, School of Economics. [Downloadable!]
   • Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August. [Downloadable!] (restricted)
6. Chib S. & Jeliazkov I., 2001. "Marginal Likelihood From the Metropolis-Hastings Output," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 270-281, March. [Downloadable!] (restricted)
7. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
   Other versions:
   • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO. [Downloadable!]
   • Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
8. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 65(3), pages 361-93, July. [Downloadable!] (restricted)
   Other versions:
   • Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
   • Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford. [Downloadable!]
   • Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA. [Downloadable!]
9. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January. [Downloadable!] (restricted)
   Other versions:
   • Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA. [Downloadable!]
10. Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 429-34, October.
11. J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Oxford University Press for Biometrika Trust, vol. 89(3), pages 603-616, August.
12. Ronald J. Mahieu & Peter C. Schotman, 1998. "An empirical application of stochastic volatility models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(4), pages 333-360. [Downloadable!]
13. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Blackwell Publishing, vol. 61(2), pages 247-64, April. [Downloadable!] (restricted)

Cited by:
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1. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
2. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, Economics Bulletin, vol. 3(15), pages 1-14. [Downloadable!]