Local scale models: state space alternative to integrated GARCH processes

Local scale models: state space alternative to integrated GARCH processes

Čájet eará veršuvnnaid (1)

State space alternative to autoregressive conditional heteroskedasticity models are proposed. The initial model, which is labelled the Gaussian local scale model, has a measurement density which is Gaussian, conditional on the unobservable precision. The precision is assumed to be a gamma variable w...

Bibliográfalaš dieđut
Váldodahkki:	Shephard, N
Materiálatiipa:	Journal article
Giella:	English
Almmustuhtton:	Elsevier 1994
Fáttát:	Econometrics Economics

Geahča maid

Local Scale Models: State Space Alternative to Integrated GARCH Processes.
Dahkki: Shephard, N
Almmustuhtton: (1994)

Exact score for time series models in state space form
Dahkki: Koopman, S, et al.
Almmustuhtton: (1992)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
Dahkki: Pitt, M, et al.
Almmustuhtton: (1999)

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
Dahkki: Bos, C, et al.
Almmustuhtton: (2006)

Statistical algorithms for models in state space form using SsfPack 2.2
Dahkki: Koopman, S, et al.
Almmustuhtton: (1999)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)

Distribution of the ML estimator of a MA (1) and a local level model
Dahkki: Shephard, N
Almmustuhtton: (1993)

On the probability of estimating a deterministic component in the local level model
Dahkki: Harvey, A, et al.
Almmustuhtton: (1990)

Simulation-based likelihood inference for limited dependent processes
Dahkki: Manrique, A, et al.
Almmustuhtton: (1998)

Dynamics of trade-by-trade price movements: decomposition and models
Dahkki: Rydberg, T, et al.
Almmustuhtton: (2003)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2005)

Realised power variation and stochastic volatility models
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)

Markov chain Monte Carlo methods for stochastic volatility models
Dahkki: Chib, S, et al.
Almmustuhtton: (2002)

From characteristic function to distribution function: a simple framework for the theory
Dahkki: Shephard, N
Almmustuhtton: (1991)

Likelihood inference for discretely observed non-linear diffusions
Dahkki: Elerian, O, et al.
Almmustuhtton: (2001)

Estimating quadratic variation using realized variance
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2002)

Detecting shocks: outliers and breaks in time series
Dahkki: Atkinson, A, et al.
Almmustuhtton: (1997)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Power variation and time change
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2006)

Power and bipower variation with stochastic volatility and jumps
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Power variation and stochastic volatility: a review and some new results
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Parallel computation in econometrics: a simplified approach
Dahkki: Doornik, J, et al.
Almmustuhtton: (2006)

Likelihood-based estimation of latent generalised ARCH structures
Dahkki: Fiorentini, G, et al.
Almmustuhtton: (2004)

Computationally-intensive econometrics using a distributed matrix-programming language
Dahkki: Doornik, J, et al.
Almmustuhtton: (2002)

Limit theorems for bipower variations in financial econometrics
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2006)

Econometrics of testing for jumps in financial economics using bipower variation
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2005)

A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
Dahkki: Leandro Maciel
Almmustuhtton: (2012-09-01)

Electronic Food Vouchers: Evidence from an At-Scale Experiment in Indonesia
Dahkki: Banerjee, Abhijit, et al.
Almmustuhtton: (2024)

Econometric modeling and inference /
Dahkki: 285891 Florens, J. P., et al.
Almmustuhtton: (2007)

Exogeneity and causality in non-stationary economic processes
Dahkki: Hendry, D
Almmustuhtton: (2004)

Handbook of computrational econometrics /
Dahkki: 315105 Belsley, David A., et al.
Almmustuhtton: (2009)

Sub-sample model selection procedures in general-to-specific modelling
Dahkki: Hendry, D, et al.
Almmustuhtton: (2004)

Estimation of an asymmetric model of asset prices
Dahkki: Harvey, A
Almmustuhtton: (1996)

A structural model of the inflation process in South Africa
Dahkki: Aron, J, et al.
Almmustuhtton: (2004)

Econometric methods and applications in modelling non-stationary climate data
Dahkki: Pretis, F
Almmustuhtton: (2015)

A dialogue concerning a new instrument for econometric modeling
Dahkki: Granger, C, et al.
Almmustuhtton: (2005)

Spatial and temporal modeling of community non- timber forest extraction
Dahkki: Robinson, E, et al.
Almmustuhtton: (2006)

Emergence and persistence of inefficient states
Dahkki: Acemoglu, Daron, et al.
Almmustuhtton: (2011)

China, South Africa and the Lewis Model
Dahkki: Knight, J
Almmustuhtton: (2007)