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Citations for "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models"

by Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Éric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO. [Downloadable!]
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  2. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," NBER Technical Working Papers 0321, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Marco Lombardi & Silvia Sgherri, 2007. "(Un)naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate," DNB Working Papers 142, Netherlands Central Bank, Research Department. [Downloadable!]
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  4. 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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  5. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  6. Xibin Zhang & Maxwell L. King & Rob J. Hyndman, 2004. "Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC," Monash Econometrics and Business Statistics Working Papers 9/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  7. Diebold, Giorgianni, & Inoue, . "Stamp 5.0: A Review," Home Pages _058, University of Pennsylvania. [Downloadable!]
  8. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
  9. Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Paper 2008-15, Federal Reserve Bank of Atlanta. [Downloadable!]
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  10. Chris M. Strickland & Catherine S. Forbes & Gael M. Martin, 2003. "Bayesian Analysis of the Stochastic Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 14/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  11. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. [Downloadable!]
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  12. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute. [Downloadable!]
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  13. Giordani, Paolo & Kohn, Robert, 2006. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series 196, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
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  14. 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!]
  15. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  16. Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society. [Downloadable!]
  17. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  18. Christian Bontemps & Nour Meddahi, 2002. "Testing Normality: A GMM Approach," CIRANO Working Papers 2002s-63, CIRANO. [Downloadable!]
  19. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548. [Downloadable!]
  20. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia. [Downloadable!]
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  21. Xibin Zhang & Maxwell L. King, 2004. "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers 26/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  22. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  23. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002. [Downloadable!]
  24. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  25. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 99-078/4, Tinbergen Institute. [Downloadable!]
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  26. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  27. BONTEMPS, Christian & MEDDAHI, Nour, 2002. "Testing Normality : A GMM Approach," Cahiers de recherche 2002-14, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
  28. Fernández-Villaverde, Jesús & Rubio-Ramirez, Juan Francisco, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," CEPR Discussion Papers 5513, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  29. Andrew D. Sanford & Gael M. Martin, 2003. "Simulation-Based Bayesian Estimation of Affine Term Structure Models," Monash Econometrics and Business Statistics Working Papers 15/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  30. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute. [Downloadable!]
  31. David S. Bates, 2003. "Maximum Likelihood Estimation of Latent Affine Processes," NBER Working Papers 9673, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  32. 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!]
  33. Sylvia Kaufmann & Martin Scheicher, 2006. "A Switching ARCH Model for the German DAX Index," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(4), pages 1290-1290. [Downloadable!] (restricted)
  34. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  35. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  36. Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin, 2007. "An Assessment of Alternative State Space Models for Count Time Series," Monash Econometrics and Business Statistics Working Papers 4/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  37. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA. [Downloadable!]
  38. Gary Koop & Simon Potter, 2007. "A flexible approach to parametric inference in nonlinear time series models," Staff Reports 285, Federal Reserve Bank of New York. [Downloadable!]
  39. Xibin Zhang & Maxwell L. King, 2003. "Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation," Monash Econometrics and Business Statistics Working Papers 10/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  40. Pieter J. van der Sluis, 1998. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Tinbergen Institute Discussion Papers 98-021/4, Tinbergen Institute. [Downloadable!]
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  41. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  42. Eugenie Hol & Siem Jan Koopman, 2000. "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers 00-104/4, Tinbergen Institute. [Downloadable!]
  43. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "Constrained Emm And Indirect Inference Estimation," Working Papers. Serie AD 2000-26, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  44. David F. Hendry, 2004. "Robustifying Forecasts from Equilibrium-Correction Models," Economics Papers 2004-W14, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  45. 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!]
  46. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO. [Downloadable!]
  47. Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers 2004-W02, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  48. 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!]
  49. G. Koop & H.K. van Dijk, 1999. "Testing for integration using evolving trend and seasonal models A Bayesian approach," Econometric Institute Report 163, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  50. 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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  51. 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!]
  52. 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!]
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  53. Gary M. Koop & Simon M. Potter, 2004. "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports 196, Federal Reserve Bank of New York. [Downloadable!]
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  54. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research. [Downloadable!]
  55. Rehim Kiliç, 2007. "Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(3), pages 1430-1430. [Downloadable!] (restricted)
  56. Diana Zhumabekova & Mardi Dungey, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 01-08, Federal Reserve Bank of San Francisco. [Downloadable!]
  57. Siddhartha Chib & Neil Shephard, 2001. "Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes"," Economics Papers 2001-W26, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  58. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group. [Downloadable!]
  59. Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2007. "Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously," CIRJE F-Series CIRJE-F-515, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  60. Noureddine Krichene, 2003. "Modeling Stochastic Volatility with Application to Stock Returns," IMF Working Papers 03/125, International Monetary Fund. [Downloadable!]
  61. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre. [Downloadable!]
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  62. Clifford Ball & Walter Torous, 2000. "Stochastic Correlation Across International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management 1063, Anderson Graduate School of Management, UCLA. [Downloadable!]
  63. Ilias Tsiakas, 2004. "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings 208, Econometric Society. [Downloadable!]
  64. Roman Liesenfeld & Robert C. Jung, 2000. "Stochastic volatility models: conditional normality versus heavy-tailed distributions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160. [Downloadable!]
  65. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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  66. Luc, BAUWENS & Michel, LUBRANO, 2006. "Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2006027, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  67. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
  68. Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society. [Downloadable!]
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  69. Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689. [Downloadable!]
  70. Garland Durham, 2004. "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings 294, Econometric Society. [Downloadable!]
  71. Joel Hasbrouck, 1998. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-076, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  72. William J. McCausland & Shirley Miller & Denis Pelletier, 2007. "A New Approach to Drawing States in State Space Models," Working Paper Series 014, North Carolina State University, Department of Economics, revised Aug 2007. [Downloadable!]
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  73. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001. [Downloadable!]
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  74. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "On the Variation of Hedging Decisions in Daily Currency Risk Management," Tinbergen Institute Discussion Papers 01-018/4, Tinbergen Institute. [Downloadable!]
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  75. Michel Beine & Charles S. Bos & Sebastian Laurent, 2005. "The Impact of Central Bank FX Interventions on Currency Components," Tinbergen Institute Discussion Papers 05-103/4, Tinbergen Institute. [Downloadable!]
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  76. Ming Liu & Harold H. Zhang, . "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics. [Downloadable!]
  77. Alejandro Justiniano & Northwestern University, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," Computing in Economics and Finance 2006 219, Society for Computational Economics. [Downloadable!]
  78. 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)
  79. Massimiliano De Santis, 2007. "Movements in the Equity Premium: Evidence from a Time-Varying VAR," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(4), pages 1523-1523. [Downloadable!] (restricted)
  80. Toshitaka Sekine & Yuki Teranishi, 2008. "Inflation Targeting and Monetary Policy Activism," IMES Discussion Paper Series 08-E-13, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
  81. Alejandro Justiniano & Giorgio E. Primiceri, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," NBER Working Papers 12022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  82. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  83. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Power and bipower variation with stochastic volatility and jumps," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  84. Jurgen A. Doornik & David F. Hendry & Neil Shephard, . "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  85. Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
  86. 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!]
  87. Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  88. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
  89. S. Bordignon & D. Raggi, 2008. "Volatility, Jumps and Predictability of Returns: a Sequential Analysis," Working Papers 636, Dipartimento Scienze Economiche, Università di Bologna. [Downloadable!]
  90. Castelnuovo , Efrem & Greco , Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Research Discussion Papers 20/2008, Bank of Finland. [Downloadable!]
  91. Gerald P. Dwyer, Jr. & K. B. Williams, 1999. "Portable random number generators," Working Paper 99-14, Federal Reserve Bank of Atlanta. [Downloadable!]
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  92. B. Jungbacker & S.J. Koopman, 2005. "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers 05-002/4, Tinbergen Institute. [Downloadable!]
  93. 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!]
  94. Michael K Pitt & Neil Shephard, . "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  95. Fabrizio Zampolli, . "Optimal monetary policy in a regime-switching economy: the response to abrupt shifts in exchange rate dynamics," Bank of England working papers 297, Bank of England. [Downloadable!]
  96. BONTEMPS, Christian & MEDDAHI, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  97. Nunzio Cappuccio & Diego Lubian & Davide Raggi, 2004. "MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(2), pages 1211-1211. [Downloadable!] (restricted)
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  98. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute. [Downloadable!]
  99. Pitt, Michael K, 2002. "Smooth Particle Filters for Likelihood Evaluation and Maximisation," The Warwick Economics Research Paper Series (TWERPS) 651, University of Warwick, Department of Economics. [Downloadable!]
  100. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," Working Paper Series in Economics and Finance 646, Stockholm School of Economics. [Downloadable!]
  101. Mikkelsen, Peter, 2001. "MCMC Based Estimation of Term Structure Models," Finance Working Papers 01-7, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  102. Nunzio Cappuccio & Diego Lubian & Davide Raggi, 2006. "Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model," Applied Financial Economics, Taylor and Francis Journals, vol. 16(6), pages 479-490, March. [Downloadable!] (restricted)
  103. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers 08-011/4, Tinbergen Institute. [Downloadable!]
  104. Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre. [Downloadable!]
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  105. David F. Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Economics Papers 2004-W15, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  106. Sylvia Frühwirth-Schnatter, 2001. "Fully Bayesian Analysis of Switching Gaussian State Space Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 31-49, March. [Downloadable!] (restricted)
  107. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  108. Sylvia Fruhwirth-Schnattaer & Sylvia Kaufmann, 2000. "Bayesian Analysis of Switching ARCH Models," Econometric Society World Congress 2000 Contributed Papers 1381, Econometric Society. [Downloadable!]
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