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Multivariate Stochastic Variance Models

Citations

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Cited by:

  1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
  2. Audrino, Francesco & Fengler, Matthias R., 2015. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
  3. Shih-Tang Hwu, 2025. "Identification and Estimation in Linear Models with Endogeneity Through Time-Varying Volatility," Mathematics, MDPI, vol. 13(11), pages 1-17, June.
  4. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
  5. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  6. 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.
  7. Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
  8. Hasanov, Akram Shavkatovich & Burkhanov, Aktam Usmanovich & Usmonov, Bunyod & Khajimuratov, Nizomjon Shukurullaevich & Khurramova, Madina Mansur qizi, 2024. "The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks," Energy, Elsevier, vol. 293(C).
  9. Daiki Maki, 2015. "Wild bootstrap tests for unit root in ESTAR models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(3), pages 475-490, September.
  10. Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  11. João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
  12. Gruber, Lutz F. & West, Mike, 2017. "Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models," Econometrics and Statistics, Elsevier, vol. 3(C), pages 3-22.
  13. Guanyu Hu & Ming-Hui Chen & Nalini Ravishanker, 2023. "Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models," Computational Statistics, Springer, vol. 38(2), pages 845-869, June.
  14. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
  15. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
  16. 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.
  17. J. Durbin & S. J. Koopman, 2000. "Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 3-56.
  18. Matthieu Lemoine, 2006. "Annex A5 : A model of the stochastic convergence between euro area business cycles," Sciences Po Economics Publications (main) hal-00972793, HAL.
  19. M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series 1358, CESifo.
  20. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  21. 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.
  22. Alejandro Rodriguez & Esther Ruiz, 2009. "Bootstrap prediction intervals in state–space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 167-178, March.
  23. 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.
  24. 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.
  25. 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".
  26. Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012. "Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 83-103, December.
  27. Sirimon Treepongkaruna & Robert Brooks & Stephen Gray, 2012. "Do trading hours affect volatility links in the foreign exchange market?," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 7-27, April.
  28. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
  29. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
  30. 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.
  31. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
  32. Gregor Kastner & Sylvia Fruhwirth-Schnatter & Hedibert Freitas Lopes, 2016. "Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models," Papers 1602.08154, arXiv.org, revised Jul 2017.
  33. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
  34. Matteo Pelagatti & Giacomo Sbrana, 2020. "Estimating high dimensional multivariate stochastic volatility models," Working Papers 428, University of Milano-Bicocca, Department of Economics, revised Jan 2020.
  35. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
  36. Yun-Huan Lee & Tsai-Hung Fan, 2006. "Bootstrapping prediction intervals on stochastic volatility models," Applied Economics Letters, Taylor & Francis Journals, vol. 13(1), pages 41-45.
  37. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
  38. Motta, Anderson C. O. & Hotta, Luiz K., 2003. "Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(2), November.
  39. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
  40. Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 973-1013, December.
  41. Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
  42. Petra Fleischer & Ross Maller & Gernot Müller, 2011. "A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 123-148, April.
  43. Tsionas, Mike G., 2017. "A non-iterative (trivial) method for posterior inference in stochastic volatility models," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 83-87.
  44. Jinghui Chen & Masahito Kobayashi & Michael McAleer, 2017. "Testing for volatility co-movement in bivariate stochastic volatility models," Documentos de Trabajo del ICAE 2017-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  45. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
  46. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
  47. Alejandro Islas Camargo & Francisco Venegas Martínez, 2003. "Pricing Derivatives Securities with Prior Information on Long- Memory Volatility," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(1), pages 103-134, January-J.
  48. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.
  49. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2021. "No‐arbitrage priors, drifting volatilities, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 495-516, August.
  50. Caldeira, João F & Moura, Guilherme Valle & Santos, André Alves Portela, 2013. "Seleção de carteiras utilizando o modelo Fama-French-Carhart," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(1), April.
  51. Vo, Minh, 2011. "Oil and stock market volatility: A multivariate stochastic volatility perspective," Energy Economics, Elsevier, vol. 33(5), pages 956-965, September.
  52. Giovanni Gallipoli & Gianluigi Pelloni, 2013. "Macroeconomic Effects of Job Reallocations: A Survey," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 5(2), pages 127-176, December.
  53. Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
  54. Mike K. P. So & C. Y. Choi, 2009. "A threshold factor multivariate stochastic volatility model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 712-735.
  55. Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
  56. Khoo, Zhi De & Ng, Kok Haur & Koh, You Beng & Ng, Kooi Huat, 2025. "Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model," Journal of Empirical Finance, Elsevier, vol. 82(C).
  57. Jang Hyung Cho & Robert T. Daigler, 2012. "An unbiased autoregressive conditional intraday seasonal variance filtering process," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 231-247, October.
  58. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  59. Kollmann, Robert, 2015. "Risk Sharing in a World Economy with Uncertainty Shocks," CEPR Discussion Papers 10940, Centre for Economic Policy Research.
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  61. Per Bjarte Solibakke, 2003. "Validity of discrete-time stochastic volatility models in non-synchronous equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 420-448.
  62. Harvey, A. & Chakravarty, T., 2008. "Beta-t-(E)GARCH," Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge.
  63. Chen, J. & Kobayashi, M. & McAleer, M.J., 2016. "Testing for a Common Volatility Process and Information Spillovers in Bivariate Financial Time Series Models," Econometric Institute Research Papers EI2016-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  64. 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.
  65. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series 497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  66. Berument, Hakan & Yalcin, Yeliz & Yildirim, Julide, 2009. "The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework," Economic Modelling, Elsevier, vol. 26(6), pages 1201-1207, November.
  67. Strickland, Chris M. & Martin, Gael M. & Forbes, Catherine S., 2008. "Parameterisation and efficient MCMC estimation of non-Gaussian state space models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2911-2930, February.
  68. Dominik Bertsche & Robin Braun, 2022. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 328-341, January.
  69. Ben Tims & Ronald Mahieu, 2006. "A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 409-424.
  70. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Inference under Sampling from Scale Mixtures of Normals," Discussion Paper 1996-02, Tilburg University, Center for Economic Research.
  71. Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
  72. Charles S. Bos & Phillip Gould, 2007. "Dynamic Correlations and Optimal Hedge Ratios," Tinbergen Institute Discussion Papers 07-025/4, Tinbergen Institute.
  73. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
  74. Berganza, Juan Carlos & Broto, Carmen, 2012. "Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 428-444.
  75. Michael Pitt & Sheheryar Malik & Arnaud Doucet, 2014. "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.
  76. Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2025. "The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach," Working Papers 202501, University of Pretoria, Department of Economics.
  77. Lange, Rutger-Jan, 2024. "Bellman filtering and smoothing for state–space models," Journal of Econometrics, Elsevier, vol. 238(2).
  78. Morar Triandafil, Cristina & Brezeanu, Petre & Huidumac, Catalin & Morar Triandafil, Adrian, 2011. "The Drivers of the CEE Exchange Rate Volatility - Empirical Perspective in the context of the Recent Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 212-229, March.
  79. Audronė Virbickaitė & Hedibert F. Lopes & M. Concepción Ausín & Pedro Galeano, 2019. "Particle learning for Bayesian semi-parametric stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1007-1023, October.
  80. Ramaprasad Bhar & Damien Lee, 2018. "Alternative characterization of volatility of short-term interest rate," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-15, June.
  81. Kim, Dongwhan & Kang, Kyu Ho, 2021. "Conditional value-at-risk forecasts of an optimal foreign currency portfolio," International Journal of Forecasting, Elsevier, vol. 37(2), pages 838-861.
  82. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2013. "The Conditional CAPM, Cross-Section Returns and Stochastic Volatility," MPRA Paper 52469, University Library of Munich, Germany.
  83. Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
  84. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
  85. Abdelhakim Aknouche, 2017. "Periodic autoregressive stochastic volatility," Statistical Inference for Stochastic Processes, Springer, vol. 20(2), pages 139-177, July.
  86. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  87. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1995. "Models and Priors for Multivariate Stochastic Volatility," CIRANO Working Papers 95s-18, CIRANO.
  88. Beltratti, Andrea & Morana, Claudio, 1999. "Computing value at risk with high frequency data," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 431-455, December.
  89. George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007. "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 63-87.
  90. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
  91. Alina Bărbulescu & Cristian Ștefan Dumitriu, 2021. "On the Connection between the GEP Performances and the Time Series Properties," Mathematics, MDPI, vol. 9(16), pages 1-19, August.
  92. David McMillan & Isabel Ruiz & Alan Speight, 2010. "Correlations and spillovers among three euro rates: evidence using realised variance," The European Journal of Finance, Taylor & Francis Journals, vol. 16(8), pages 753-767.
  93. Hui Li & Qiaowei Shen & Yakov Bart, 2018. "Local Market Characteristics and Online-to-Offline Commerce: An Empirical Analysis of Groupon," Management Science, INFORMS, vol. 64(4), pages 1860-1878, April.
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  95. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
  96. Pilar Poncela & Esther Ruiz, 2016. "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434, Emerald Group Publishing Limited.
  97. Jaroslava Hlouskova & Kurt Schmidheiny & Martin Wagner, 2002. "Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management," Diskussionsschriften dp0212, Universitaet Bern, Departement Volkswirtschaft.
  98. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series," LEM Papers Series 2006/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  99. Shang, Yuhuang & Zheng, Tingguo, 2021. "Mixed-frequency SV model for stock volatility and macroeconomics," Economic Modelling, Elsevier, vol. 95(C), pages 462-472.
  100. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
  101. Christou, Costas & Swamy, P. A. V. B. & Tavlas, George S., 1998. "A general framework for predicting returns from multiple currency investments," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 977-1000, May.
  102. Arthur Charpentier, 2015. "Prévision avec des copules en finance," Working Papers hal-01151233, HAL.
  103. Bontemps, Christian & Meddahi, Nour, 2005. "Testing normality: a GMM approach," Journal of Econometrics, Elsevier, vol. 124(1), pages 149-186, January.
  104. Mike So & K. Lam & W. K. Li, 1999. "Forecasting exchange rate volatility using autoregressive random variance model," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 583-591.
  105. Pasricha, Gurnain Kaur, 2006. "Kalman Filter and its Economic Applications," MPRA Paper 22734, University Library of Munich, Germany.
  106. Yuichi Nagahara, 2003. "Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 721-738, November.
  107. Martina Danielova Zaharieva & Mark Trede & Bernd Wilfling, 2017. "Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements," CQE Working Papers 6217, Center for Quantitative Economics (CQE), University of Muenster.
  108. Pitt, Michael K., "undated". "Smooth particle filters for likelihood evaluation and maximisation," Economic Research Papers 269464, University of Warwick - Department of Economics.
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  110. Sirimon Treepongkaruna & Stephen Gray, 2009. "Information and volatility links in the foreign exchange market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(2), pages 385-405, June.
  111. Preminger, Arie & Storti, Giuseppe, 2014. "Least squares estimation for GARCH (1,1) model with heavy tailed errors," MPRA Paper 59082, University Library of Munich, Germany.
  112. 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.
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  125. Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
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  127. Takao Asano & Xiaojing Cai & Ryuta Sakemoto, 2023. "Time-varying ambiguity shocks and business cycles," KIER Working Papers 1094, Kyoto University, Institute of Economic Research.
  128. Mohamadou L. Fadi & Yongsheng Wang, 2014. "Common Stochastic Volatility in International Real Estate Market," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 131-139.
  129. Christian N. Brinch, 2008. "Simulated Maximum Likelihood using Tilted Importance Sampling," Discussion Papers 540, Statistics Norway, Research Department.
  130. 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.
  131. Brandt, Michael W. & Jones, Christopher S., 2005. "Bayesian range-based estimation of stochastic volatility models," Finance Research Letters, Elsevier, vol. 2(4), pages 201-209, December.
  132. Dellaportas, Petros & Titsias, Michalis K. & Petrova, Katerina & Plataniotis, Anastasios, 2023. "Scalable inference for a full multivariate stochastic volatility model," Journal of Econometrics, Elsevier, vol. 232(2), pages 501-520.
  133. Kim, Dukpa, 2014. "Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility," Economics Letters, Elsevier, vol. 123(3), pages 282-286.
  134. Yong Li & Jun Yu, 2019. "An Improved Bayesian Unit Root Test in Stochastic Volatility Models," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 103-122, May.
  135. Benjamin Poignard & Manabu Asai, 2023. "High‐dimensional sparse multivariate stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 4-22, January.
  136. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
  137. Bruno Ebner & Bernhard Klar & Simos G. Meintanis, 2018. "Fourier inference for stochastic volatility models with heavy-tailed innovations," Statistical Papers, Springer, vol. 59(3), pages 1043-1060, September.
  138. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
  139. Charles S. Bos, 2011. "Relating Stochastic Volatility Estimation Methods," Tinbergen Institute Discussion Papers 11-049/4, Tinbergen Institute.
  140. Philip Arestis & Kostas Mouratidis, 2004. "Credibility of European Monetary System Interest Rate Policies: A Markov Regime‐Switching Approach," Manchester School, University of Manchester, vol. 72(1), pages 1-23, January.
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