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Bayesian Analysis of Stochastic Volatility Models

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Cited by:

  1. Ellington, Michael & Milas, Costas, 2021. "On the economic impact of aggregate liquidity shocks: The case of the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 737-752.
  2. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
  3. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
  4. Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang, 2017. "A Neural Stochastic Volatility Model," Papers 1712.00504, arXiv.org, revised Dec 2018.
  5. Antonio A. F. Santos, 2021. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 455-479, February.
  6. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  7. Hess Chung & Jean‐Philippe Laforte & David Reifschneider & John C. Williams, 2012. "Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(s1), pages 47-82, February.
  8. Liesenfeld, Roman, 1997. "Trading volume and the short and long-run components of volatility," Tübinger Diskussionsbeiträge 102, University of Tübingen, School of Business and Economics.
  9. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
  10. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  11. DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH, 2018. "Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-23, June.
  12. Gabriel Rodríguez & Dennis Alvaro & Ángel Guillén, 2016. "Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts [Modelando la volatilidad de los precios de los commodities utilizando un modelo de volatili," Documentos de Trabajo / Working Papers 2016-414, Departamento de Economía - Pontificia Universidad Católica del Perú.
  13. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
  14. Collin-Dufresne, Pierre & Goldstein, Robert S. & Jones, Christopher S., 2009. "Can interest rate volatility be extracted from the cross section of bond yields?," Journal of Financial Economics, Elsevier, vol. 94(1), pages 47-66, October.
  15. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
  16. Redl, Chris, 2020. "Uncertainty matters: Evidence from close elections," Journal of International Economics, Elsevier, vol. 124(C).
  17. Ahmed Belhadjayed & Grégoire Loeper & Frédéric Abergel, 2016. "Forecasting Trends With Asset Prices," Post-Print hal-01512431, HAL.
  18. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  19. Beine, Michel & Bos, Charles S. & Coulombe, Serge, 2012. "Does the Canadian economy suffer from Dutch disease?," Resource and Energy Economics, Elsevier, vol. 34(4), pages 468-492.
  20. Luca Gambetti & Jordi Galí, 2009. "On the Sources of the Great Moderation," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.
  21. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, October.
  22. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
  23. Eric Jacquier & Robert Jarrow, "undated". "Model Error in Contingent Claim Models (Dynamic Evaluation)," Rodney L. White Center for Financial Research Working Papers 7-96, Wharton School Rodney L. White Center for Financial Research.
  24. Salima El Kolei, 2013. "Parametric estimation of hidden stochastic model by contrast minimization and deconvolution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1031-1081, November.
  25. Ekaterina V. Peneva & Jeremy B. Rudd, 2017. "The Passthrough of Labor Costs to Price Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(8), pages 1777-1802, December.
  26. David E. Allen & Michael McAleer, 2020. "Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE," Risks, MDPI, Open Access Journal, vol. 8(1), pages 1-20, February.
  27. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  28. Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
  29. Johansson, Anders C., 2010. "Asian sovereign debt and country risk," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 335-350, September.
  30. Faruk Selcuk, 2005. "Asymmetric stochastic volatility in emerging stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 15(12), pages 867-874.
  31. Haque, Qazi & Magnusson, Leandro M., 2021. "Uncertainty shocks and inflation dynamics in the U.S," Economics Letters, Elsevier, vol. 202(C).
  32. Paolo Girardello & Orietta Nicolis & Giovanni Tondini, 2003. "Comparing Conditional Variance Models: Theory and Empirical Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 177-206, September.
  33. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
  34. Mr. John J Matovu, 2007. "Volatility and Jump Risk Premia in Emerging Market Bonds," IMF Working Papers 2007/172, International Monetary Fund.
  35. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2001. "Comparing dynamic equilibrium economies to data," FRB Atlanta Working Paper 2001-23, Federal Reserve Bank of Atlanta.
  36. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
  37. Annalisa Cadonna & Sylvia Fruhwirth-Schnatter & Peter Knaus, 2019. "Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models," Papers 1912.03100, arXiv.org.
  38. Gustavo Fruet Dias & Marcelo Fernandes & Cristina M. Scherrer, 2016. "Component shares in continuous time," CREATES Research Papers 2016-25, Department of Economics and Business Economics, Aarhus University.
  39. Harald Uhlig, 1997. "Bayesian Vector Autoregressions with Stochastic Volatility," Econometrica, Econometric Society, vol. 65(1), pages 59-74, January.
  40. Nicholas G. Polson & James G. Scott, 2011. "An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility," Papers 1110.5789, arXiv.org, revised Mar 2012.
  41. Smith, J.Q. & Santos, Antonio A.F., 2006. "Second-Order Filter Distribution Approximations for Financial Time Series With Extreme Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 329-337, July.
  42. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 555-583, November.
  43. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
  44. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
  45. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  46. Loddo, Antonello & Ni, Shawn & Sun, Dongchu, 2011. "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 342-355.
  47. Pizer, William A., 1999. "The optimal choice of climate change policy in the presence of uncertainty," Resource and Energy Economics, Elsevier, vol. 21(3-4), pages 255-287, August.
  48. Travis Sapp, 2009. "Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 303-326, November.
  49. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
  50. Popiel Michal Ksawery, 2020. "Fiscal policy uncertainty and US output," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-26, April.
  51. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
  52. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
  53. Andreas Kaeck & Carol Alexander, 2010. "Stochastic Volatility Jump-Diffusions for Equity Index Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2010-06, Henley Business School, University of Reading.
  54. Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2019. "Empirical evidence on the dynamics of investment under uncertainty in the US," CAMA Working Papers 2019-87, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  55. P. de Zea Bermudez & J. Miguel Marín & Helena Veiga, 2020. "Data cloning estimation for asymmetric stochastic volatility models," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 1057-1074, November.
  56. Geweke, John & Amisano, Gianni, 2011. "Optimal prediction pools," Journal of Econometrics, Elsevier, vol. 164(1), pages 130-141, September.
  57. Andrea Carriero & Haroon Mumtaz & Konstantinos Theodoridis & Angeliki Theophilopoulou, 2015. "The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(6), pages 1223-1238, September.
  58. Kawakatsu, Hiroyuki, 2007. "Specification and estimation of discrete time quadratic stochastic volatility models," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 424-442, June.
  59. Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2001. "Is stochastic volatility more flexible than garch?," DES - Working Papers. Statistics and Econometrics. WS ws010805, Universidad Carlos III de Madrid. Departamento de Estadística.
  60. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
  61. de Pinho, Frank M. & Franco, Glaura C. & Silva, Ralph S., 2016. "Modeling volatility using state space models with heavy tailed distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 119(C), pages 108-127.
  62. 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.
  63. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  64. Cathy W. S. Chen & Sangyeol Lee & Shu-Yu Chen, 2016. "Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach," Computational Statistics, Springer, vol. 31(1), pages 1-24, March.
  65. Pitt, M.K. & Walker, S.G., 2001. "Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models," The Warwick Economics Research Paper Series (TWERPS) 595, University of Warwick, Department of Economics.
  66. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Large Vector Autoregressions with Asymmetric Priors," Working Papers 759, Queen Mary University of London, School of Economics and Finance.
  67. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
  68. Suk Joon Byun & Jung‐Soon Hyun & Woon Jun Sung, 2021. "Estimation of stochastic volatility and option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 349-360, March.
  69. Selçuk, Faruk, 2004. "Free float and stochastic volatility: the experience of a small open economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 693-700.
  70. Pop, Raluca Elena, 2012. "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper 51595, University Library of Munich, Germany.
  71. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
  72. Alessandri, Piergiorgio & Mumtaz, Haroon, 2019. "Financial regimes and uncertainty shocks," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 31-46.
  73. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
  74. Adam Clements & Scott White, 2005. "Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage," School of Economics and Finance Discussion Papers and Working Papers Series 192, School of Economics and Finance, Queensland University of Technology.
  75. BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K., 1999. "Adaptive polar sampling with an application to a Bayes measure of value-at-risk," LIDAM Discussion Papers CORE 1999057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  76. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
  77. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
  78. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Common Drifting Volatility in Large Bayesian VARs," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 375-390, July.
  79. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  80. Anastasios Evgenidis & Apostolos Fasianos, 2019. "Monetary Policy and Wealth Inequalities in Great Britain: Assessing the role of unconventional policies for a decade of household data," Papers 1912.09702, arXiv.org.
  81. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  82. Charles Bos & Neil Shephard, 2006. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 219-244.
  83. Junji Shimada & Yoshihiko Tsukuda, 2004. "Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space," Econometric Society 2004 Far Eastern Meetings 611, Econometric Society.
  84. Jun Yu & Renate Meyer, 2006. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 361-384.
  85. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, University Library of Munich, Germany.
  86. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  87. Yijie Peng & Michael C. Fu & Jian-Qiang Hu, 2016. "Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1393-1411, September.
  88. McCAUSLAND, William, 2008. "The Hessian Method (Highly Efficient State Smoothing, In a Nutshell)," Cahiers de recherche 03-2008, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  89. Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.
  90. Valeriu Nalban & Andra Smadu, 2020. "Financial disruptions and heightened uncertainty: a case for timely policy action," DNB Working Papers 687, Netherlands Central Bank, Research Department.
  91. Antonio Pacifico, 2021. "Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues," Econometrics, MDPI, Open Access Journal, vol. 9(2), pages 1-35, May.
  92. Todd E. Clark & Stephen J. Terry, 2010. "Time Variation in the Inflation Passthrough of Energy Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1419-1433, October.
  93. Michael B. Gordy & SØren Willemann, 2012. "Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models," Management Science, INFORMS, vol. 58(3), pages 476-492, March.
  94. Michal Franta & Jan Libich & Petr Stehlík, 2018. "Tracking Monetary-Fiscal Interactions across Time and Space," International Journal of Central Banking, International Journal of Central Banking, vol. 14(3), pages 167-227, June.
  95. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.
  96. Nishino, Haruhisa & Kakamu, Kazuhiko, 2015. "A random walk stochastic volatility model for income inequality," Japan and the World Economy, Elsevier, vol. 36(C), pages 21-28.
  97. Xi, Yanhui & Peng, Hui & Qin, Yemei & Xie, Wenbiao & Chen, Xiaohong, 2015. "Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 117(C), pages 141-153.
  98. Argia M. Sbordone & Timothy Cogley, 2004. "A Search for a Structural Phillips Curve," Computing in Economics and Finance 2004 291, Society for Computational Economics.
  99. Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Bayesian analysis of chaos: The joint return-volatility dynamical system," MPRA Paper 80632, University Library of Munich, Germany.
  100. 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, vol. 146(1), pages 10-25, September.
  101. Valcarcel, Victor J., 2013. "Exchange rate volatility and the time-varying effects of aggregate shocks," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 822-843.
  102. M. Pilar Muñoz & M. Dolores Marquez & Lesly M. Acosta, 2007. "Forecasting volatility by means of threshold models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(5), pages 343-363.
  103. Maciej Kostrzewski & Jadwiga Kostrzewska, 2021. "The Impact of Forecasting Jumps on Forecasting Electricity Prices," Energies, MDPI, Open Access Journal, vol. 14(2), pages 1-17, January.
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  105. Malik, Sheheryar & Pitt, Michael K., 2009. "Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering," Economic Research Papers 271302, University of Warwick - Department of Economics.
  106. Roman Liesenfeld & Robert C. Jung, 2000. "Stochastic volatility models: conditional normality versus heavy-tailed distributions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160.
  107. Tobias Straumann & Ulrich Woitek, 2008. "A pioneer of a new monetary policy? Sweden�s price level targeting of the 1930s revisited," IEW - Working Papers 386, Institute for Empirical Research in Economics - University of Zurich.
  108. Liu, Zhenya & Wang, Shixuan, 2017. "Decoding Chinese stock market returns: Three-state hidden semi-Markov model," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 127-149.
  109. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  110. Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2017. "The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 74-94.
  111. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
  112. N. Balakrishna & Bovas Abraham & Ranjini Sivakumar, 2006. "Gamma stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(3), pages 153-171.
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  114. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
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  116. John Geweke & Gianni Amisano, 2011. "Hierarchical Markov normal mixture models with applications to financial asset returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(1), pages 1-29, January/F.
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  118. Carriquiry, Miguel, "undated". "An Examination Of The Relationship Between Biodiesel And Soybean Oil Prices Using An Asset Pricing Model," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236167, Agricultural and Applied Economics Association.
  119. Argia M. Sbordone & Timothy Cogley, 2004. "A Search for a Structural Phillips Curve," Computing in Economics and Finance 2004 291, Society for Computational Economics.
  120. Lopez, Jose A, 2001. "Evaluating the Predictive Accuracy of Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
  121. Cogley, Timothy & Morozov, Sergei & Sargent, Thomas J., 2005. "Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1893-1925, November.
  122. Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2020. "The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes," Working Papers 202046, University of Pretoria, Department of Economics.
  123. Anastasios Evgenidis & Anastasios G. Malliaris, 2020. "To Lean Or Not To Lean Against An Asset Price Bubble? Empirical Evidence," Economic Inquiry, Western Economic Association International, vol. 58(4), pages 1958-1976, October.
  124. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July.
  125. Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
  126. Mykland, Per Aslak, 2019. "Combining statistical intervals and market prices: The worst case state price distribution," Journal of Econometrics, Elsevier, vol. 212(1), pages 272-285.
  127. Joan del Castillo & Juan-Pablo Ortega, 2011. "Hedging of time discrete auto-regressive stochastic volatility options," Papers 1110.6322, arXiv.org.
  128. Asger Lunde & Anne Floor Brix & Wei Wei, 2015. "A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method," CREATES Research Papers 2015-46, Department of Economics and Business Economics, Aarhus University.
  129. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
  130. Gillemot, L. & Töyli, J. & Kertesz, J. & Kaski, K., 2000. "Time-independent models of asset returns revisited," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(1), pages 304-324.
  131. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  132. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
  133. Ruiz, Esther & Trucíos, Carlos & Hotta, Luiz, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de Estadística.
  134. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Large Vector Autoregressions with Stochastic Volatility and Flexible Priors," Working Papers (Old Series) 1617, Federal Reserve Bank of Cleveland.
  135. Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
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