Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Show other versions (2)

Bibliografiske detaljer
Main Authors:	Kim, S, Shephard, N, Chib, S
Andre forfattere:	Newbold, P
Format:	Book section
Sprog:	English
Udgivet:	Elgar 2003

Lignende værker

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
af: Kim, S, et al.
Udgivet: (2005)

Stochastic volatility: likelihood inference and comparison with ARCH models.
af: Kim, S, et al.
Udgivet: (1994)

Stochastic volatility with leverage: fast likelihood inference.
af: Omori, Y, et al.
Udgivet: (2004)

Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
af: Omori, Y, et al.
Udgivet: (2007)

Stochastic volatility with leverage: fast and efficient likelihood inference
af: Omori, Y, et al.
Udgivet: (2007)

Likelihood based inference for diffusion driven models.
af: Chib, S, et al.
Udgivet: (2004)

Likelihood Inference for Discretely Observed Nonlinear Diffusions.
af: Elerain, O, et al.
Udgivet: (2001)

Likelihood inference for Discretely Observed Non-linear Diffusions.
af: Elerian, O, et al.
Udgivet: (1998)

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

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

Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models
af: Omar Abbara, et al.
Udgivet: (2022-12-01)

Analysis of High Dimensional Multivariate Stochastic Volatility Models.
af: Chib, S, et al.
Udgivet: (2006)

Analysis of high dimensional multivariate stochastic volatility models
af: Chib, S, et al.
Udgivet: (2006)

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

Markov Chain Monte Carlo Methods for Stochastic Volatility Models.
af: Chib, S, et al.
Udgivet: (2002)

Simulated likelihood inference for stochastic volatility models using continuous particle filtering
af: Pitt, M, et al.
Udgivet: (2014)

Simulated likelihood inference for stochastic volatility models using continuous particle filtering
af: Pitt, M, et al.
Udgivet: (2014)

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.
af: Chib, S, et al.
Udgivet: (2002)

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

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

Likelihood-based estimation of latent generalised ARCH structures.
af: Fiorentini, G, et al.
Udgivet: (2002)

Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components.
af: Shephard, N
Udgivet: (1993)

Maximum likelihood estimation of regression models with stochastic trend components
af: Shephard, N
Udgivet: (1993)

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
af: Bos, C, et al.
Udgivet: (2006)

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

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
af: Bos, C, et al.
Udgivet: (2004)

Stochastic Volatility.
af: Shephard, N
Udgivet: (2005)

Bayesian Analysis of Stochastic Volatility Models: Comment.
af: Shephard, N, et al.
Udgivet: (1994)

Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes".
af: Chib, S, et al.
Udgivet: (2001)

Simulation-Based Likelihood Inference for Limited Dependent Processes.
af: Manrique, A, et al.
Udgivet: (1998)

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

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
af: Flury, T, et al.
Udgivet: (2008)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
af: Flury, T, et al.
Udgivet: (2011)

Stochastic Volatility: Origins and Overview.
af: Shephard, N, et al.
Udgivet: (2008)

Stochastic volatility: origins and overview
af: Shephard, N, et al.
Udgivet: (2008)

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

Higher order variation and stochastic volatility models.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)

Realised power variation and stochastic volatility models.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
af: Barndorff-Nielsen, O, et al.
Udgivet: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
af: Shephard, N, et al.
Udgivet: (2001)