A comparative study of two models SV with MCMC algorithm
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 38 (2012)
Issue (Month): 4 (May)
|Contact details of provider:|| Web page: http://springerlink.metapress.com/link.asp?id=102990|
References listed on IDEAS
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.:
- Hwang, Soosung & Salmon, Mark, 2004.
"Market Stress and Herding,"
CEPR Discussion Papers
4340, C.E.P.R. Discussion Papers.
- Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 429-34, October.
- Manabu Asai & Michael McAleer, 2006.
"Asymmetric Multivariate Stochastic Volatility,"
Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
- Thomas J. O'Brien & Walter Dolde, 2000. "A currency index global capital asset pricing model," European Financial Management, European Financial Management Association, vol. 6(1), pages 7-18.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007.
"Multivariate stochastic volatility,"
CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
- 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.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
- Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400.
- Vivek Sharma, 2011. "Stock returns and product market competition: beyond industry concentration," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 283-299, October.
- Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 139-144.
When requesting a correction, please mention this item's handle: RePEc:kap:rqfnac:v:38:y:2012:i:4:p:479-493. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.