Integrated nested Laplace approximations for threshold stochastic volatility models
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Cited by:
- Di Zhang & Qiang Niu & Youzhou Zhou, 2022. "Modeling Randomly Walking Volatility with Chained Gamma Distributions," Papers 2207.01151, arXiv.org, revised Oct 2022.
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Keywords
Inla;JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-02-01 (Econometrics)
- NEP-ETS-2021-02-01 (Econometric Time Series)
- NEP-ORE-2021-02-01 (Operations Research)
- NEP-RMG-2021-02-01 (Risk Management)
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