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Citations for "Stochastic Volatility: Univariate and Multivariate Extensions"

by Eric Jacquier & Nicholas G. Polson & Peter Rossi

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  1. Danielsson, Jon, 1998. "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 155-173, June.
  2. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics.
  3. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  4. Cogley, Timothy W. & Morozov, Sergei & Sargent, Thomas J., 2003. "Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system," CFS Working Paper Series 2003/44, Center for Financial Studies (CFS).
  5. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
  6. Tsunehiro Ishihara & Yasuhiro Omori, 2010. "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.
  7. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
  8. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
  9. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June.
  10. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
  11. Andrea CARRIERO & Todd E. CLARK & Massimiliano MARCELLINO, 2012. "Common Drifting Volatility in Large Bayesian VARs," Economics Working Papers ECO2012/08, European University Institute.
  12. Jean-Francois Richard & Roman Liesenfeld, 2007. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Working Papers 322, University of Pittsburgh, Department of Economics, revised Jan 2004.
  13. Carmen Fernandez & Mark F J Steel, 1998. "On the dangers of modelling through continuous distributions: A Bayesian perspective," ESE Discussion Papers 22, Edinburgh School of Economics, University of Edinburgh.
  14. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
  15. Norberto Rodríguez, 2000. "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," BORRADORES DE ECONOMIA 002060, BANCO DE LA REPÚBLICA.
  16. Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2013. "The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?," Working papers 462, Banque de France.
  17. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc.
  18. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
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