Dealing with Stochastic Volatility in Time Series Using the R Package stochvol
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References listed on IDEAS
- Frühwirth-Schnatter, Sylvia & Wagner, Helga, 2010. "Stochastic model specification search for Gaussian and partial non-Gaussian state space models," Journal of Econometrics, Elsevier, vol. 154(1), pages 85-100, January.
- Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
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- Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017. "Measuring uncertainty in the stock market," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 18-33.
- Florian Huber, 2018. "Dealing with cross-country heterogeneity in panel VARs using finite mixture models," Papers 1804.01554, arXiv.org.
- repec:wiw:wiwwuw:wuwp261 is not listed on IDEAS
- Liu, Wei-han, 2016. "A re-examination of maturity effect of energy futures price from the perspective of stochastic volatility," Energy Economics, Elsevier, vol. 56(C), pages 351-362.
- Niko Hauzenberger & Maximilian Bock & Michael Pfarrhofer & Anna Stelzer & Gregor Zens, 2018. "Implications of Macroeconomic Volatility in the Euro Area," Papers 1801.02925, arXiv.org.
- repec:wiw:wus005:6246 is not listed on IDEAS
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