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Univariate and multivariate stochastic volatility models: estimation and diagnostics

  • Liesenfeld, Roman
  • Richard, Jean-Francois

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File URL: http://www.sciencedirect.com/science/article/B6VFG-47VHB6V-3/2/73a5f4caefb4e1629c8483d9f1323715
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," CORE Discussion Papers 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Ruiz, Esther, 1994. "Quasi-maximum likelihood estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 63(1), pages 289-306, July.
  3. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March.
  4. Danielsson, J & Richard, J-F, 1993. "Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S153-73, Suppl. De.
  5. Liesenfeld, Roman, 2001. "A generalized bivariate mixture model for stock price volatility and trading volume," Journal of Econometrics, Elsevier, vol. 104(1), pages 141-178, August.
  6. Danielsson, Jon, 1998. "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 155-173, June.
  7. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
  8. Eric Jacquier & Nicholas G. Polson & Peter Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," Computing in Economics and Finance 1999 112, Society for Computational Economics.
  9. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  10. 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.
  11. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
  12. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265.
  13. Engle, Robert F. & Ng, Victor K. & Rothschild, Michael, 1990. "Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 213-237.
  14. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Wiley Blackwell, vol. 61(2), pages 247-64, April.
  15. Liesenfeld, Roman & Jung, Robert C., 1997. "Stochastic volatility models: Conditional normality versus heavy tailed distributions," Tübinger Diskussionsbeiträge 103, University of Tübingen, School of Business and Economics.
  16. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
  17. Sandmann, Gleb & Koopman, Siem Jan, 1998. "Estimation of stochastic volatility models via Monte Carlo maximum likelihood," Journal of Econometrics, Elsevier, vol. 87(2), pages 271-301, September.
  18. Liesenfeld, Roman, 1998. "Dynamic Bivariate Mixture Models: Modeling the Behavior of Prices and Trading Volume," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(1), pages 101-09, January.
  19. Stephen J. Taylor, 1994. "Modeling Stochastic Volatility: A Review And Comparative Study," Mathematical Finance, Wiley Blackwell, vol. 4(2), pages 183-204.
  20. Victor Fenton & Gallant, A. Ronald, 1996. "Qualitative and Asymptotic Performance of SNP Density Estimators," Working Papers 96-17, Duke University, Department of Economics.
  21. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
  22. Aguilar, Omar & West, Mike, 2000. "Bayesian Dynamic Factor Models and Portfolio Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 338-57, July.
  23. 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.
  24. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
  25. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400.
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