## Citations for "Stochastic volatility with leverage: Fast and efficient likelihood inference"

### by Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi

- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2015.
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**Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution**," CIRJE F-Series CIRJE-F-975, CIRJE, Faculty of Economics, University of Tokyo.

- Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016.
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**Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution**," International Journal of Forecasting, Elsevier, vol. 32(2), pages 437-457.

- Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014.
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**Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution**," CIRJE F-Series CIRJE-F-921, CIRJE, Faculty of Economics, University of Tokyo. - Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014.
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**Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution**," CIRJE F-Series CIRJE-F-949, CIRJE, Faculty of Economics, University of Tokyo.

- Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016.
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- Deschamps, Philippe J., 2011.
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**Bayesian estimation of an extended local scale stochastic volatility model**," Journal of Econometrics, Elsevier, vol. 162(2), pages 369-382, June.

- Deschamps, Philippe J., 2009.
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**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.

- Deschamps, Philippe J., 2009.
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- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015.
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**Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes**," CIRJE F-Series CIRJE-F-953, CIRJE, Faculty of Economics, University of Tokyo.

- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015.
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**Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes**," CIRJE F-Series CIRJE-F-952, CIRJE, Faculty of Economics, University of Tokyo.

- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015.
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- Michael McAller & Marcelo C. Medeiros, 2007.
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**A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries**," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).

- McAleer, Michael & Medeiros, Marcelo C., 2008.
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**A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries**," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.

- McAleer, Michael & Medeiros, Marcelo C., 2008.
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- Shirota, Shinichiro & Hizu, Takayuki & Omori, Yasuhiro, 2014.
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**Realized stochastic volatility with leverage and long memory**," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 618-641.

- Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2012.
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**Realized stochastic volatility with leverage and long memory**," CIRJE F-Series CIRJE-F-869, CIRJE, Faculty of Economics, University of Tokyo. - Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2013.
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**Realized Stochastic Volatility with Leverage and Long Memory**," CIRJE F-Series CIRJE-F-880, CIRJE, Faculty of Economics, University of Tokyo.

- Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2012.
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- Nakajima, Jouchi & Omori, Yasuhiro, 2012.
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**Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution**," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3690-3704.

- Jouchi Nakajima & Yasuhiro Omori, 2009.
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**Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution**," CARF F-Series CARF-F-199, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo. - Jouchi Nakajima & Yasuhiro Omori, 2009.
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**Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution**," CIRJE F-Series CIRJE-F-701, CIRJE, Faculty of Economics, University of Tokyo. - Jouchi Nakajima & Yasuhiro Omori, 2010.
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**Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Student's t-distribution**," Global COE Hi-Stat Discussion Paper Series gd09-124, Institute of Economic Research, Hitotsubashi University. - Jouchi Nakajima & Yasuhiro Omori, 2010.
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**Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution**," CARF F-Series CARF-F-215, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

- Jouchi Nakajima & Yasuhiro Omori, 2009.
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- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015.
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**Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section**," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013.
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**Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section**," Working Paper 2013/19, Norges Bank.

- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013.
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- Manabu Asai & Michael McAleer, 2010.
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**Alternative Asymmetric Stochastic Volatility Models**," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.

- Manabu Asai & Michael McAleer, 2011.
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**Alternative Asymmetric Stochastic Volatility Models**," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.

- Manabu Asai & Michael McAleer, 2010.
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**Alternative Asymmetric Stochastic Volatility Models**," KIER Working Papers 739, Kyoto University, Institute of Economic Research. - Asai, M. & McAleer, M.J., 2010.
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**Alternative Asymmetric Stochastic Volatility Models**," Econometric Institute Research Papers EI 2010-69, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Manabu Asai & Michael McAleer, 2009.
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**Alternative Asymmetric Stochastic Volatility Models**," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo. - Manabu Asai & Michael McAleer, 2009.
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**Alternative Asymmetric Stochastic Volatility Models**," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.

- Manabu Asai & Michael McAleer, 2011.
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- Chan, Joshua C.C., 2013.
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**Moving average stochastic volatility models with application to inflation forecast**," Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.

- Joshua C C Chan, 2012.
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**Moving Average Stochastic Volatility Models with Application to Inflation Forecast**," ANU Working Papers in Economics and Econometrics 2012-591, Australian National University, College of Business and Economics, School of Economics. - Joshua C.C. Chan, 2013.
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**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.

- Joshua C C Chan, 2012.
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- Kitsul, Yuriy & Wright, Jonathan H., 2013.
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**The economics of options-implied inflation probability density functions**," Journal of Financial Economics, Elsevier, vol. 110(3), pages 696-711. - Maciej Kostrzewski, 2016.
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**Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices**," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 8(3), pages 161-179, September. - Abanto-Valle, C.A. & Bandyopadhyay, D. & Lachos, V.H. & Enriquez, I., 2010.
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**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. - Aknouche, Abdelhakim, 2013.
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**Periodic autoregressive stochastic volatility**," MPRA Paper 69571, University Library of Munich, Germany, revised 2015. - Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013.
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**Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series**," Tinbergen Institute Discussion Papers 13-011/III, Tinbergen Institute. - Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013.
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**Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad?**," Working Paper 2013/22, Norges Bank.

- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2016.
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**Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?**," Working Papers 567, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

- Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2016.
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- Dinghai Xu & John Knight, 2013.
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**Stochastic volatility model under a discrete mixture-of-normal specification**," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 216-239, April. - António Alberto Santos, 2015.
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**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. - Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013.
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**Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14**," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute. - Djennad, Abdelmajid & Rigby, Robert & Stasinopoulos, Dimitrios & Voudouris, Vlasios & Eilers, Paul, 2015.
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**Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications**," MPRA Paper 62807, University Library of Munich, Germany. - Mark J Jensen & John M Maheu, 2008.
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**Bayesian semiparametric stochastic volatility modeling**," Working Papers tecipa-314, University of Toronto, Department of Economics.

- Jensen, Mark J. & Maheu, John M., 2010.
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**Bayesian semiparametric stochastic volatility modeling**," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.

- Mark J. Jensen & John M. Maheu, 2009.
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**Bayesian Semiparametric Stochastic Volatility Modeling**," Working Paper Series 23_09, The Rimini Centre for Economic Analysis. - Mark J. Jensen & John M. Maheu, 2008.
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**Bayesian semiparametric stochastic volatility modeling**," FRB Atlanta Working Paper 2008-15, Federal Reserve Bank of Atlanta.

- Jensen, Mark J. & Maheu, John M., 2010.
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- António A. F. Santos, 2015.
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**On the Forecasting of Financial Volatility Using Ultra-High Frequency Data**," GEMF Working Papers 2015-17, GEMF - Faculdade de Economia, Universidade de Coimbra. - Umberto Triacca & Fulvia Focker, 2014.
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**Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach**," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 235-254, October. - Koop, Gary & Korobilis, Dimitris, 2010.
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**Bayesian Multivariate Time Series Methods for Empirical Macroeconomics**," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.

- Koop, Gary & Korobilis, Dimitris, 2009.
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**Bayesian Multivariate Time Series Methods for Empirical Macroeconomics**," MPRA Paper 20125, University Library of Munich, Germany. - Gary Koop & Dimitris Korobilis, 2009.
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**Bayesian Multivariate Time Series Methods for Empirical Macroeconomics**," Working Paper Series 47_09, The Rimini Centre for Economic Analysis.

- Koop, Gary & Korobilis, Dimitris, 2009.
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- Takahashi, Makoto & Omori, Yasuhiro & Watanabe, Toshiaki, 2013.
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**News impact curve for stochastic volatility models**," Economics Letters, Elsevier, vol. 120(1), pages 130-134.

- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012.
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**News Impact Curve for Stochastic Volatility Models**," Global COE Hi-Stat Discussion Paper Series gd12-242, Institute of Economic Research, Hitotsubashi University.

- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012.
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- Knut Are Aastveit & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2014.
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**Have standard VARs remained stable since the crisis?**," Working Paper 2014/13, Norges Bank.

- Aastveit, Knut Are & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2016.
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**Have Standard VARs Remained Stable Since the Crisis?**," CEPR Discussion Papers 11558, C.E.P.R. Discussion Papers. - Aastveit, Knut Are & Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2014.
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**Have Standard VARs Remained Stable since the Crisis?**," Working Paper 1411, Federal Reserve Bank of Cleveland.

- Aastveit, Knut Are & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2016.
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- Drew Creal & Siem Jan Koopman & Eric Zivot, 2008.
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**The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model**," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute. - Leopoldo Catania & Nima Nonejad, 2016.
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**Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models**," Papers 1605.00230, arXiv.org, revised Nov 2016. - Ishihara, Tsunehiro & Omori, Yasuhiro, 2012.
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**Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors**," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3674-3689.

- Tsunehiro Ishihara & Yasuhiro Omori, 2010.
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**Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors**," CARF F-Series CARF-F-221, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo. - Tsunehiro Ishihara & Yasuhiro Omori, 2009.
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**Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors**," CIRJE F-Series CIRJE-F-700, CIRJE, Faculty of Economics, University of Tokyo. - Tsunehiro Ishihara & Yasuhiro Omori, 2010.
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**Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors**," CIRJE F-Series CIRJE-F-746, CIRJE, Faculty of Economics, University of Tokyo. - Tsunehiro Ishihara & Yasuhiro Omori, 2009.
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**Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors**," CARF F-Series CARF-F-198, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

- Tsunehiro Ishihara & Yasuhiro Omori, 2010.
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- Cem Çakmakli, 2012.
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**Bayesian Semiparametric Dynamic Nelson-Siegel Model**," Working Paper Series 59_12, The Rimini Centre for Economic Analysis, revised Sep 2012. - Jebabli, Ikram & Arouri, Mohamed & Teulon, Frédéric, 2014.
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**On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility**," Energy Economics, Elsevier, vol. 45(C), pages 66-98.

- Ikram Jebabli & Mohamed Arouri & Frédéric Teulon, 2014.
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**On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVPVAR models with stochastic volatility**," Working Papers 2014-209, Department of Research, Ipag Business School.

- Ikram Jebabli & Mohamed Arouri & Frédéric Teulon, 2014.
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- Mark J Jensen & John M Maheu, 2012.
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**Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture**," Working Papers tecipa-453, University of Toronto, Department of Economics.

- Jensen, Mark J. & Maheu, John M., 2014.
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**Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture**," Journal of Econometrics, Elsevier, vol. 178(P3), pages 523-538.

- Mark J. Jensen & John M. Maheu, 2012.
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**Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture**," Working Paper Series 45_12, The Rimini Centre for Economic Analysis. - Mark J. Jensen & John M. Maheu, 2012.
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**Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture**," FRB Atlanta Working Paper 2012-06, Federal Reserve Bank of Atlanta.

- Jensen, Mark J. & Maheu, John M., 2014.
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- Istvan Barra & Siem Jan Koopman, 2016.
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**Bayesian Dynamic Modeling of High-Frequency Integer Price Changes**," Tinbergen Institute Discussion Papers 16-028/III, Tinbergen Institute. - Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2011.
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**Efficient estimation and particle filter for max-stable processes**," CIRJE F-Series CIRJE-F-791, CIRJE, Faculty of Economics, University of Tokyo.

- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2012.
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**Efficient estimation and particle filter for max‐stable processes**," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 61-80, 01.

- Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang, 2012.
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- Michael Pitt & Sheheryar Malik & Arnaud Doucet, 2014.
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**Simulated likelihood inference for stochastic volatility models using continuous particle filtering**," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(3), pages 527-552, June. - Cabral, Celso Rômulo Barbosa & da-Silva, Cibele Queiroz & Migon, Helio S., 2014.
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**A dynamic linear model with extended skew-normal for the initial distribution of the state parameter**," Computational Statistics & Data Analysis, Elsevier, vol. 74(C), pages 64-80. - Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
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**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-938, CIRJE, Faculty of Economics, University of Tokyo.

- Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016.
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**Matrix exponential stochastic volatility with cross leverage**," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 331-350.

- Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2013.
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**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-904, CIRJE, Faculty of Economics, University of Tokyo. - Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2011.
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**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-812, CIRJE, Faculty of Economics, University of Tokyo. - Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014.
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**Matrix Exponential Stochastic Volatility with Cross Leverage**," CIRJE F-Series CIRJE-F-932, CIRJE, Faculty of Economics, University of Tokyo.

- Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016.
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- Malik, Sheheryar & Pitt, Michael K., 2011.
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**Particle filters for continuous likelihood evaluation and maximisation**," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209. - Nakajima, Jouchi & Kasuya, Munehisa & Watanabe, Toshiaki, 2011.
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**Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy**," Journal of the Japanese and International Economies, Elsevier, vol. 25(3), pages 225-245, September.

- Jouchi Nakajima & Munehisa Kasuya & Toshiaki Watanabe, 2009.
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**Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy**," IMES Discussion Paper Series 09-E-13, Institute for Monetary and Economic Studies, Bank of Japan. - Jouchi Nakajima & Munehisa Kasuya & Toshiaki Watanabe, 2009.
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**Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy**," Global COE Hi-Stat Discussion Paper Series gd09-072, Institute of Economic Research, Hitotsubashi University.

- Jouchi Nakajima & Munehisa Kasuya & Toshiaki Watanabe, 2009.
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- Ralf Sabiwalsky, 2012.
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**Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?**," SFB 649 Discussion Papers SFB649DP2012-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. - David Neto & Sylvain Sardy & Paul Tseng, 2009.
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**l1-Penalized Likelihood Smoothing of Volatility Processes allowing for Abrupt Changes**," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2009.05, Institut d'Economie et Econométrie, Université de Genève. - Yu, Jun, 2012.
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**A semiparametric stochastic volatility model**," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482. - Frühwirth-Schnatter, Sylvia & Wagner, Helga, 2008.
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**Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling**," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4608-4624, June. - BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011.
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**Volatility models**," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). - Jean-Francois Richard, 2016.
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**Finite Gaussian Mixture Approximations to Analytically Intractable Density Kerkels**," Working Paper 5980, Department of Economics, University of Pittsburgh. - Genya Kobayashi, 2016.
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**Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles**," Computational Statistics, Springer, vol. 31(1), pages 49-88, March. - Trojan, Sebastian, 2014.
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**Multivariate Stochastic Volatility with Dynamic Cross Leverage**," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science. - Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014.
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**On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14**," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014. - Kastner, Gregor & Frühwirth-Schnatter, Sylvia, 2014.
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**Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models**," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 408-423. - Xi, Yanhui & Peng, Hui & Qin, Yemei & Xie, Wenbiao & Chen, Xiaohong, 2015.
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**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. - Kleppe, Tore Selland & Skaug, Hans Julius, 2012.
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**Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling**," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3105-3119. - Dinghai Xu, 2009.
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**The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey**," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009. - Creal, Drew D. & Tsay, Ruey S., 2015.
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**High dimensional dynamic stochastic copula models**," Journal of Econometrics, Elsevier, vol. 189(2), pages 335-345. - Jouchi Nakajima, 2011.
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**Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications**," IMES Discussion Paper Series 11-E-09, Institute for Monetary and Economic Studies, Bank of Japan. - Kleppe, Tore Selland & Skaug, Hans J., 2008.
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**Simulated maximum likelihood for general stochastic volatility models: a change of variable approach**," MPRA Paper 12022, University Library of Munich, Germany. - Skaug, Hans J. & Yu, Jun, 2014.
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**A flexible and automated likelihood based framework for inference in stochastic volatility models**," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 642-654. - McCausland, William J., 2012.
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**The HESSIAN method: Highly efficient simulation smoothing, in a nutshell**," Journal of Econometrics, Elsevier, vol. 168(2), pages 189-206. - Veiga, Helena & Ruiz, Esther & Mao, Xiuping, 2013.
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**One for all : nesting asymmetric stochastic volatility models**," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística. - repec:tky:fseres:2014cf952 is not listed on IDEAS
- Krueger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015.
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**Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts**," Working Paper 1439, Federal Reserve Bank of Cleveland.

- Krüger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015.
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**Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts**," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113077, Verein für Socialpolitik / German Economic Association.

- Krüger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015.
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- James H. Stock & Mark W. Watson, 2015.
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**Core Inflation and Trend Inflation**," NBER Working Papers 21282, National Bureau of Economic Research, Inc. - Delatola, E.-I. & Griffin, J.E., 2013.
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**A Bayesian semiparametric model for volatility with a leverage effect**," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 97-110. - Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013.
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**Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data**," Tinbergen Institute Discussion Papers 13-090/III, Tinbergen Institute.

- Nalan Baştürk & Cem Çakmakli & S. Pinar Ceyhan & Herman K. Van Dijk, 2014.
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**Posterior‐Predictive Evidence On Us Inflation Using Extended New Keynesian Phillips Curve Models With Non‐Filtered Data**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1164-1182, November.

- Nalan Baştürk & Cem Çakmakli & S. Pinar Ceyhan & Herman K. Van Dijk, 2014.
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- Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2015.
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**Cholesky Realized Stochastic Volatility Model**," CIRJE F-Series CIRJE-F-979, CIRJE, Faculty of Economics, University of Tokyo. - Asai, Manabu & McAleer, Michael, 2009.
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**The structure of dynamic correlations in multivariate stochastic volatility models**," Journal of Econometrics, Elsevier, vol. 150(2), pages 182-192, June. - Khorunzhina, Natalia & Richard, Jean-Francois, 2016.
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**Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels**," MPRA Paper 72326, University Library of Munich, Germany. - Sergey Egiev, 2016.
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**On Persistence of Uncertainty Shocks**," HSE Working papers WP BRP 144/EC/2016, National Research University Higher School of Economics. - Deschamps, P., 2015.
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**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). - Tsyplakov, Alexander, 2010.
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**Revealing the arcane: an introduction to the art of stochastic volatility models**," MPRA Paper 25511, University Library of Munich, Germany. - Shinichiro Shirota & Yasuhiro Omori & Hedibert. F. Lopes & Haixiang Piao, 2016.
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**Cholesky Realized Stochastic Volatility Model**," CIRJE F-Series CIRJE-F-1019, CIRJE, Faculty of Economics, University of Tokyo. - Jouchi Nakajima, 2008.
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**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. - Nakajima, Jouchi & Omori, Yasuhiro, 2009.
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**Leverage, heavy-tails and correlated jumps in stochastic volatility models**," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April.

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**Leverage, heavy-tails and correlated jumps in stochastic volatility models**," CIRJE F-Series CIRJE-F-514, CIRJE, Faculty of Economics, University of Tokyo.

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**Relating Stochastic Volatility Estimation Methods**," Tinbergen Institute Discussion Papers 11-049/4, Tinbergen Institute. - Patricia Lengua & Cristian Bayes & Gabriel Rodríguez, 2015.
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**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. - Malik, Sheheryar & Pitt, Michael K, 2009.
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**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. - Ruiz, Esther & Veiga, Helena & Mao, Xiuping, 2014.
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**Score driven asymmetric stochastic volatility models**," DES - Working Papers. Statistics and Econometrics. WS ws142618, Universidad Carlos III de Madrid. Departamento de Estadística. - István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014.
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**Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models**," Tinbergen Institute Discussion Papers 14-118/III, Tinbergen Institute, revised 31 Mar 2016. - Tino Berger & Gerdie Everaert & Hauke Vierke, 2015.
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**Testing for time variation in an unobserved components model for the U.S. economy**," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/903, Ghent University, Faculty of Economics and Business Administration.

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**Testing for time variation in an unobserved components model for the U.S. economy**," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 179-208.

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**Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models**," International Journal of Forecasting, Elsevier, vol. 30(4), pages 963-980. - Kim, Jaeho, 2015.
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**Bayesian Inference in a Non-linear/Non-Gaussian Switching State Space Model: Regime-dependent Leverage Effect in the U.S. Stock Market**," MPRA Paper 67153, University Library of Munich, Germany. - Gabriel Rodriguez & Willy Alanya, 2016.
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**Asimetrías en volatilidad: Un estudio empírico para los mercados bursátil y cambiario del Perú**," Documentos de Trabajo / Working Papers 2016-413, Departamento de Economía - Pontificia Universidad Católica del Perú. - Yasuhiro Omori & Toshiaki Watanabe, 2007.
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**Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models**," CIRJE F-Series CIRJE-F-507, CIRJE, Faculty of Economics, University of Tokyo.

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**Block sampler and posterior mode estimation for asymmetric stochastic volatility models**," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2892-2910, February.

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**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.