Bayesian estimation of an extended local scale stochastic volatility model-Reference-Cited by-同舟云学术

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Bayesian estimation of an extended local scale stochastic volatility model

Published:2011-06 Issue:2 Volume:162 Page:369-382
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Deschamps Philippe J.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference42 articles.

1. Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications;Ardia,2008

2. Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations;Ardia;Econometrics Journal,2009

3. Bayesian Theory;Bernardo,2000

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

5. ARCH models;Bollerslev,1994

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1. A new filtering inference procedure for a GED state-space volatility model;Journal of Statistical Planning and Inference;2022-12

2. Bayesian Analysis of ARCH-M model with a dynamic latent variable;Econometrics and Statistics;2021-10

3. A Stochastic Volatility Model With Realized Measures for Option Pricing;Journal of Business & Economic Statistics;2019-05-31

4. Reliability Analysis via Non-Gaussian State-Space Models;IEEE Transactions on Reliability;2017-06

5. Modeling volatility using state space models with heavy tailed distributions;Mathematics and Computers in Simulation;2016-01

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