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Citations for "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply"

by Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E

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  1. Tetsuya Takaishi, 2013. "Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm," Papers 1305.3184, arXiv.org.
  2. Deschamps, P., 2015. "Alternative Formulation of the Leverage Effect in a Stochastic Volatility Model with Asymmetric Heavy-Tailed Errors," CORE Discussion Papers 2015020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
  4. Christiane Baumeister & Eveline Durinck & Gert Peersman, 2008. "Liquidity, inflation and asset prices in a time-varying framework for the euro area," Working Paper Research 142, National Bank of Belgium.
  5. Pop, Raluca Elena, 2012. "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper 51595, University Library of Munich, Germany.
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  7. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, November.
  8. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  9. BAUWENS, Luc & VEREDAS, David, . "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," CORE Discussion Papers RP 1688, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. Jiří Witzany, 2011. "Estimating Correlated Jumps and Stochastic Volatilities," Working Papers IES 2011/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2011.
  11. Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University.
  12. António Alberto Santos & João Andrade, 2014. "Stochastic Volatility Estimation with GPU Computing," GEMF Working Papers 2014-10, GEMF - Faculdade de Economia, Universidade de Coimbra.
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  15. Christiane Baumeister & Gert Peersman, 2013. "Time-Varying Effects of Oil Supply Shocks on the US Economy," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
  16. Adam Canopius, 2006. "Practitioners' Corner," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 346-351.
  17. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Common drifting volatility in large Bayesian VARs," Working Paper 1206, Federal Reserve Bank of Cleveland.
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  25. Alejandro Islas Camargo & Francisco Venegas Martínez, 2003. "Pricing Derivatives Securities with Prior Information on Long- Memory Volatility," Economía Mexicana NUEVA ÉPOCA, , vol. 0(1), pages 103-134, January-J.
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  30. Wang, Joanna J.J. & Chan, Jennifer S.K. & Choy, S.T. Boris, 2011. "Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 852-862, January.
  31. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 2012/09, Norges Bank.
  32. Asai, Manabu, 2009. "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2579-2596.
  33. 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.
  34. Mark J. Jensen & John M. Maheu, 2009. "Bayesian Semiparametric Stochastic Volatility Modeling," Working Paper Series 23_09, The Rimini Centre for Economic Analysis.
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  39. Bandi, Federico M. & Renò, Roberto, 2012. "Time-varying leverage effects," Journal of Econometrics, Elsevier, vol. 169(1), pages 94-113.
  40. Arie Preminger & Christian M. Hafner, 2006. "Deciding Between Garch And Stochastic Volatility Via Strong Decision Rules," Working Papers 0603, Ben-Gurion University of the Negev, Department of Economics.
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  45. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
  46. Asai, Manabu, 2008. "Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 332-341, March.
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  50. Charles S. Bos & Siem Jan Koopman, 2010. "Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production," Tinbergen Institute Discussion Papers 10-017/4, Tinbergen Institute.
  51. Benati, Luca, 2009. "Would the Bundesbank have prevented the Great Inflation in the United States?," Working Paper Series 1134, European Central Bank.
  52. Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
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  57. Deschamps, Philippe J., 2009. "Bayesian estimation of an extended local scale stochastic volatility model," DQE Working Papers 15, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 12 Nov 2011.
  58. 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.
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  63. 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.
  64. Chan, Leo & Lien, Donald, 2002. "Measuring the impacts of cash settlement: A stochastic volatility approach," International Review of Economics & Finance, Elsevier, vol. 11(3), pages 251-263.
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