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Citations for "Stochastic Volatility: Univariate and Multivariate Extensions"

by Éric Jacquier & Nicholas G. Polson & Peter E. Rossi

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  1. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers, CIRANO 2001s-70, CIRANO.
  2. Andrea CARRIERO & Todd E. CLARK & Massimiliano MARCELLINO, 2012. "Common Drifting Volatility in Large Bayesian VARs," Economics Working Papers, European University Institute ECO2012/08, European University Institute.
  3. 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.
  4. Danielsson, Jon, 1998. "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, Elsevier, vol. 5(2), pages 155-173, June.
  5. Roman Liesenfeld & Jean-Francois Richard, 2006. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 335-360.
  6. Cogley, Timothy & Morozov, Sergei & Sargent, Thomas J., 2005. "Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(11), pages 1893-1925, November.
  7. Ishihara, Tsunehiro & Omori, Yasuhiro, 2012. "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3674-3689.
  8. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  9. Fernández, C. & Steel, M.F.J., 1997. "On the Dangers of Modelling through Continuous Distributions: A Bayesian Perspective," Discussion Paper, Tilburg University, Center for Economic Research 1997-05, Tilburg University, Center for Economic Research.
  10. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  11. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers, CIRANO 98s-22, CIRANO.
  12. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  13. Norberto Rodríguez, 2000. "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," BORRADORES DE ECONOMIA 002060, BANCO DE LA REPÚBLICA.
  14. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics.
  15. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, Elsevier, vol. 56(3), pages 407-458, June.
  16. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
  17. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(4), pages 505-531, September.