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Citations for "Likelihood-based estimation of latent generalised ARCH structures"

by Neil Shephard & Gabriele Fiorentini Enrique Sentana

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  1. M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series 2326, CESifo Group Munich.
  2. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests For Static Factor Models," Working Papers, CEMFI wp2009_0912, CEMFI.
  3. Carmen Broto & Esther Ruiz, 2003. "Unobserved Component Models With Asymmetric Conditional Variances," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws032003, Universidad Carlos III, Departamento de Estadística y Econometría.
  4. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series, Oxford Financial Research Centre 2009fe02, Oxford Financial Research Centre.
  5. Catherine Doz & Eric Renault, 2004. "Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation," THEMA Working Papers 2004-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  6. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests For Serial Dependence In Static, Non-Gaussian Factor Models," Working Papers, CEMFI wp2012_1211, CEMFI.
  7. Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
  8. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe23, Oxford Financial Research Centre.
  9. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 220-235, August.
  10. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, Elsevier, vol. 2(1), pages 1-27, April.
  11. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
  12. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  13. Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010. "Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen 2010-09, Department of Economics, University of St. Gallen.
  14. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests For Dynamic Factor Models," Working Papers, CEMFI wp2013_1306, CEMFI.
  15. Prosper Dovonon, 2013. "Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
  16. Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-19, Board of Governors of the Federal Reserve System (U.S.).
  17. Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe30, Oxford Financial Research Centre.
  18. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, Elsevier, vol. 146(1), pages 10-25, September.
  19. Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
  20. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 150(2), pages 167-181, June.
  21. Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries," CEIS Research Paper, Tor Vergata University, CEIS 287, Tor Vergata University, CEIS, revised 01 Oct 2013.
  22. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  23. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  24. Hecq Alain & Laurent Sébastien & Palm Franz C., 2012. "On the Univariate Representation of BEKK Models with Common Factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  25. Weber, Enzo, 2013. "Decomposing U.S. Stock Market Comovement into spillovers and common factors," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 106-118.
  26. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  27. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, Elsevier, vol. 171(2), pages 134-151.
  28. Catherine Doz & Éric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers, CIRANO 2004s-37, CIRANO.
  29. Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
  30. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus.
  31. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers, CEMFI wp2004_0409, CEMFI.