IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors"

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

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Bandi, Federico M. & Renò, Roberto, 2012. "Time-varying leverage effects," Journal of Econometrics, Elsevier, vol. 169(1), pages 94-113.
  2. António A. F. Santos, 2015. "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers 2015-17, GEMF - Faculdade de Economia, Universidade de Coimbra.
  3. Ai-ru (Meg) Cheng & Yin-Wong Cheung, 2008. "Return, Trading Volume, and Market Depth in Currency Futures Markets," Working Papers 202008, Hong Kong Institute for Monetary Research.
  4. Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
  5. 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.
  6. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
  7. Durham, Garland B., 2006. "Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models," Journal of Econometrics, Elsevier, vol. 133(1), pages 273-305, July.
  8. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
  9. repec:spr:compst:v:70:y:2009:i:2:p:337-356 is not listed on IDEAS
  10. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  11. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods and Applications, Springer, vol. 18(4), pages 555-583, November.
  12. Łukasz Kwiatkowski, 2011. "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 3(4), pages 187-219, December.
  13. 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.
  14. Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.
  15. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
  16. Jensen, Mark J. & Maheu, John M., 2014. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, vol. 178(P3), pages 523-538.
  17. Benati, Luca, 2007. "The ‘Great Moderation’ in the United Kingdom," Working Paper Series 0769, European Central Bank.
  18. Mumtaz, Haroon & Surico, Paolo, 2008. "Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model," CEPR Discussion Papers 6767, C.E.P.R. Discussion Papers.
  19. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  20. Zeyyad Mandalinci, 2015. "Forecasting Inflation in Emerging Markets: An Evaluation of Alternative Models," CReMFi Discussion Papers 3, CReMFi, School of Economics and Finance, QMUL.
  21. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
  22. Bade, Alexander & Frahm, Gabriel & Jaekel, Uwe, 2008. "A general approach to Bayesian portfolio optimization," Discussion Papers in Econometrics and Statistics 1/08, University of Cologne, Institute of Econometrics and Statistics.
  23. Katarzyna Toporek, 2012. "Simple is better. Empirical comparison of American option valuation methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 29.
  24. Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino, 2013. "Adaptive Sticky Generalized Metropolis," Working Papers 2013:19, Department of Economics, University of Venice "Ca' Foscari".
  25. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
  26. Zellner, Arnold & Ando, Tomohiro, 2010. "A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model," Journal of Econometrics, Elsevier, vol. 159(1), pages 33-45, November.
  27. Mumtaz, Haroon & Surico, Paolo, 2013. "Policy Uncertainty and Aggregate Fluctuations," CEPR Discussion Papers 9694, C.E.P.R. Discussion Papers.
  28. Roland Langrock & Théo Michelot & Alexander Sohn & Thomas Kneib, 2015. "Semiparametric stochastic volatility modelling using penalized splines," Computational Statistics, Springer, vol. 30(2), pages 517-537, June.
  29. Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
  30. Patricia Lengua & Cristian Bayes & Gabriel Rodríguez, 2015. " A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns," Documentos de Trabajo / Working Papers 2015-405, Departamento de Economía - Pontificia Universidad Católica del Perú.
  31. Taamouti, Abderrahim & García, René & Dufour, Jean-Marie, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  32. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  33. Abanto-Valle, C.A. & Bandyopadhyay, D. & Lachos, V.H. & Enriquez, I., 2010. "Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2883-2898, December.
  34. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 15(3), pages 94-138.
  35. Mukhoti, Sujay, 2014. "Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness," MPRA Paper 62532, University Library of Munich, Germany.
  36. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
  37. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  38. Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  39. Lars Stentoft, 2011. "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers 2011-34, Department of Economics and Business Economics, Aarhus University.
  40. Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  41. Zhongxian Men & Adam W. Kolkiewicz & Tony S. Wirjanto, 2013. "Bayesian Inference of Asymmetric Stochastic Conditional Duration Models," Working Paper Series 28_13, The Rimini Centre for Economic Analysis.
  42. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49276, Agricultural and Applied Economics Association.
  43. 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).
  44. Vo, Minh & Cohen, Michael & Boulter, Terry, 2015. "Asymmetric risk and return: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 558-573.
  45. Wang, Joanna J.J., 2012. "On asymmetric generalised t stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(11), pages 2079-2095.
  46. Gilhooly, Robert & Weale, Martin & Wieladek, Tomasz, 2012. "Disaggregating the international business cycle," Discussion Papers 37, Monetary Policy Committee Unit, Bank of England.
  47. Gordy, Michael B. & Szerszen, Pawel J., 2015. "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-2, Board of Governors of the Federal Reserve System (U.S.).
  48. Takada, Teruko, 2009. "Simulated minimum Hellinger distance estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2390-2403, April.
  49. Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
  50. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  51. Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
  52. Lee, Eunhee & Han, Doo Bong & Ito, Shoichi & Rodolfo M. Nayga, Jr, 2015. "A common factor of stochastic volatilities between oil and commodity prices," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205771, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  53. Florescu, Ionuţ & Pãsãricã, Cristian Gabriel, 2009. "A study about the existence of the leverage effect in stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 419-432.
  54. Francesco Bianchi & Andrea Civelli, 2015. "Globalization and Inflation: Evidence from a Time Varying VAR," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(2), pages 406-433, April.
  55. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Working Papers 0505, VCU School of Business, Department of Economics.
  56. Cathy Chen & Feng-Chi Liu & Mike So, 2013. "Threshold variable selection of asymmetric stochastic volatility models," Computational Statistics, Springer, vol. 28(6), pages 2415-2447, December.
  57. Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-507, CIRJE, Faculty of Economics, University of Tokyo.
  58. Cem Çakmakli, 2012. "Bayesian Semiparametric Dynamic Nelson-Siegel Model," Working Paper Series 59_12, The Rimini Centre for Economic Analysis, revised Sep 2012.
  59. Deschamps, Philippe J., 2011. "Bayesian estimation of an extended local scale stochastic volatility model," Journal of Econometrics, Elsevier, vol. 162(2), pages 369-382, June.
  60. Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors," CARF F-Series CARF-F-104, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  61. 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.
  62. 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.
  63. Ruiz, Esther & Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
  64. 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.
  65. Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S., 2008. "A Gaussian approximation scheme for computation of option prices in stochastic volatility models," Journal of Econometrics, Elsevier, vol. 146(1), pages 44-58, September.
  66. Didit Nugroho & Takayuki Morimoto, 2015. "Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-Based methods," Computational Statistics, Springer, vol. 30(2), pages 491-516, June.
  67. Ruiz, Esther & Veiga, Helena & Mao, Xiuping, 2014. "Score driven asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws142618, Universidad Carlos III de Madrid. Departamento de Estadística.
  68. Anna Pajor, 2009. "A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(1), pages 71-81, March.
  69. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
  70. Malik, Sheheryar & Pitt, Michael K, 2009. "Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering," The Warwick Economics Research Paper Series (TWERPS) 897, University of Warwick, Department of Economics.
  71. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
  72. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2902. "VAR Models with Non-Gaussian Shocks," CReMFi Discussion Papers 4, CReMFi, School of Economics and Finance, QMUL.
  73. António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF - Faculdade de Economia, Universidade de Coimbra.
  74. 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, Reading University.
  75. Laszlo F. Korsos, 2013. "The Dirichlet Portfolio Model: Uncovering the Hidden Composition of Hedge Fund Investments," Papers 1306.0938, arXiv.org.
  76. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models : from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  77. Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
  78. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference," SFB 649 Discussion Papers SFB649DP2008-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  79. Joshua C.C. Chan, 2013. "Moving Average Stochastic Volatility Models with Application to Inflation Forecast," CAMA Working Papers 2013-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  80. Michael Verhofen, 2005. "Markov Chain Monte Carlo Methods in Financial Econometrics," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 397-405, December.
  81. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
  82. Pawel J. Szerszen, 2009. "Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis," Finance and Economics Discussion Series 2009-40, Board of Governors of the Federal Reserve System (U.S.).
  83. António Alberto Santos & João Andrade, 2014. "Stochastic Volatility Estimation with GPU Computing," GEMF Working Papers 2014-10, GEMF - Faculdade de Economia, Universidade de Coimbra.
  84. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research.
  85. Raggi, Davide & Bordignon, Silvano, 2006. "Comparing stochastic volatility models through Monte Carlo simulations," Computational Statistics & Data Analysis, Elsevier, vol. 50(7), pages 1678-1699, April.
  86. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.
  87. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
  88. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
  89. Nakajima, Jouchi & Omori, Yasuhiro, 2009. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April.
  90. Alexander Bade & Gabriel Frahm & Uwe Jaekel, 2009. "A general approach to Bayesian portfolio optimization," Mathematical Methods of Operations Research, Springer, vol. 70(2), pages 337-356, October.
  91. 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.
  92. 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.
  93. Carol Alexander & Andreas Kaeck, 2012. "Does model fit matter for hedging? Evidence from FTSE 100 options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 609-638, 07.
  94. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 1218, Federal Reserve Bank of Cleveland.
  95. Hisashi Tanizaki & Shigeyuki Hamori, 2009. "Volatility transmission between Japan, UK and USA in daily stock returns," Empirical Economics, Springer, vol. 36(1), pages 27-54, February.
  96. Hsieh, Ping-Hung & Yang, J. Jimmy, 2009. "A censored stochastic volatility approach to the estimation of price limit moves," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 337-351, March.
  97. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  98. Zhang, Xibin & King, Maxwell L. & Hyndman, Rob J., 2006. "A Bayesian approach to bandwidth selection for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3009-3031, July.
  99. Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University.
  100. Rydlewski, Jerzy P. & Snarska, Małgorzata, 2014. "On geometric ergodicity of skewed—SVCHARME models," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 192-197.
  101. repec:ebl:ecbull:v:3:y:2006:i:15:p:1-14 is not listed on IDEAS
  102. Veiga, Helena & Ruiz, Esther & Gonçalves Mazzeu, Joao Henrique, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
  103. Haroon Mumtaz & Francesco Zanetti, 2015. "Labor Market Dynamics: A Time-Varying Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(3), pages 319-338, 06.
  104. Gerlach, Richard & Tuyl, Frank, 2006. "MCMC methods for comparing stochastic volatility and GARCH models," International Journal of Forecasting, Elsevier, vol. 22(1), pages 91-107.
  105. Veiga, Helena & Ruiz, Esther & Mao, Xiuping, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
  106. Cédric Okou & Éric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers 2014s-36, CIRANO.
  107. Bandi, F.M. & Renò, R., 2016. "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, vol. 119(1), pages 107-146.
  108. Kirby, Chris, 2006. "Linear filtering for asymmetric stochastic volatility models," Economics Letters, Elsevier, vol. 92(2), pages 284-292, August.
  109. Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
  110. 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.
  111. Griffin, J.E. & Steel, M.F.J., 2011. "Stick-breaking autoregressive processes," Journal of Econometrics, Elsevier, vol. 162(2), pages 383-396, June.
  112. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
  113. Hardiyanto, A.V., 2007. "Daily Rp/USD stochastic volatility and the policy implication lesson," Journal of Asian Economics, Elsevier, vol. 18(1), pages 237-256, February.
  114. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARs," Working Papers ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
  115. 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".
  116. Haroon Mumtaz & Paolo Surico, 2006. "Inflation Globalization and the Fall of Country Specific Fluctuations," Computing in Economics and Finance 2006 166, Society for Computational Economics.
  117. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-14.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.