Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Εμφάνιση άλλων εκδόσεων (2)

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς:	Kim, S, Shephard, N, Chib, S
Άλλοι συγγραφείς:	Newbold, P
Μορφή:	Book section
Γλώσσα:	English
Έκδοση:	Elgar 2003

Παρόμοια τεκμήρια

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
ανά: Kim, S, κ.ά.
Έκδοση: (2005)

Stochastic volatility: likelihood inference and comparison with ARCH models.
ανά: Kim, S, κ.ά.
Έκδοση: (1994)

Stochastic volatility with leverage: fast likelihood inference.
ανά: Omori, Y, κ.ά.
Έκδοση: (2004)

Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
ανά: Omori, Y, κ.ά.
Έκδοση: (2007)

Stochastic volatility with leverage: fast and efficient likelihood inference
ανά: Omori, Y, κ.ά.
Έκδοση: (2007)

Likelihood based inference for diffusion driven models.
ανά: Chib, S, κ.ά.
Έκδοση: (2004)

Likelihood Inference for Discretely Observed Nonlinear Diffusions.
ανά: Elerain, O, κ.ά.
Έκδοση: (2001)

Likelihood inference for Discretely Observed Non-linear Diffusions.
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Έκδοση: (1998)

Likelihood inference for discretely observed non-linear diffusions
ανά: Elerian, O, κ.ά.
Έκδοση: (2001)

Likelihood inference for discretely observed non-linear diffusions.
ανά: Elerian, O, κ.ά.
Έκδοση: (2001)

Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models
ανά: Omar Abbara, κ.ά.
Έκδοση: (2022-12-01)

Analysis of High Dimensional Multivariate Stochastic Volatility Models.
ανά: Chib, S, κ.ά.
Έκδοση: (2006)

Analysis of high dimensional multivariate stochastic volatility models
ανά: Chib, S, κ.ά.
Έκδοση: (2006)

Markov chain Monte Carlo methods for stochastic volatility models
ανά: Chib, S, κ.ά.
Έκδοση: (2002)

Markov Chain Monte Carlo Methods for Stochastic Volatility Models.
ανά: Chib, S, κ.ά.
Έκδοση: (2002)

Simulated likelihood inference for stochastic volatility models using continuous particle filtering
ανά: Pitt, M, κ.ά.
Έκδοση: (2014)

Simulated likelihood inference for stochastic volatility models using continuous particle filtering
ανά: Pitt, M, κ.ά.
Έκδοση: (2014)

Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.
ανά: Chib, S, κ.ά.
Έκδοση: (2002)

Likelihood-based estimation of latent generalised ARCH structures.
ανά: Fiorentini, G, κ.ά.
Έκδοση: (2004)

Likelihood-based estimation of latent generalised ARCH structures
ανά: Fiorentini, G, κ.ά.
Έκδοση: (2004)

Likelihood-based estimation of latent generalised ARCH structures.
ανά: Fiorentini, G, κ.ά.
Έκδοση: (2002)

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

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

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
ανά: Bos, C, κ.ά.
Έκδοση: (2006)

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
ανά: Bos, C, κ.ά.
Έκδοση: (2006)

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
ανά: Bos, C, κ.ά.
Έκδοση: (2004)

Stochastic Volatility.
ανά: Shephard, N
Έκδοση: (2005)

Bayesian Analysis of Stochastic Volatility Models: Comment.
ανά: Shephard, N, κ.ά.
Έκδοση: (1994)

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

Simulation-Based Likelihood Inference for Limited Dependent Processes.
ανά: Manrique, A, κ.ά.
Έκδοση: (1998)

Simulation-based likelihood inference for limited dependent processes
ανά: Manrique, A, κ.ά.
Έκδοση: (1998)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
ανά: Flury, T, κ.ά.
Έκδοση: (2008)

Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
ανά: Flury, T, κ.ά.
Έκδοση: (2011)

Stochastic Volatility: Origins and Overview.
ανά: Shephard, N, κ.ά.
Έκδοση: (2008)

Stochastic volatility: origins and overview
ανά: Shephard, N, κ.ά.
Έκδοση: (2008)

Realised power variation and stochastic volatility models
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2003)

Higher order variation and stochastic volatility models.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2001)

Realised power variation and stochastic volatility models.
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2001)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
ανά: Barndorff-Nielsen, O, κ.ά.
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Econometric analysis of realised volatility and its use in estimating stochastic volatility models
ανά: Shephard, N, κ.ά.
Έκδοση: (2001)