Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Taispeáin leaganacha eile (2)

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Kim, S, Shephard, N, Chib, S
Rannpháirtithe:	Newbold, P
Formáid:	Book section
Teanga:	English
Foilsithe / Cruthaithe:	Elgar 2003

Míreanna comhchosúla

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
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Stochastic volatility: likelihood inference and comparison with ARCH models.
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Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
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Likelihood Inference for Discretely Observed Nonlinear Diffusions.
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Likelihood inference for Discretely Observed Non-linear Diffusions.
de réir: Elerian, O, et al.
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Likelihood inference for discretely observed non-linear diffusions
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Likelihood inference for discretely observed non-linear diffusions.
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Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models
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Analysis of High Dimensional Multivariate Stochastic Volatility Models.
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Analysis of high dimensional multivariate stochastic volatility models
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Markov chain Monte Carlo methods for stochastic volatility models
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Markov Chain Monte Carlo Methods for Stochastic Volatility Models.
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Simulated likelihood inference for stochastic volatility models using continuous particle filtering
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Simulated likelihood inference for stochastic volatility models using continuous particle filtering
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Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.
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Likelihood-based estimation of latent generalised ARCH structures.
de réir: Fiorentini, G, et al.
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Likelihood-based estimation of latent generalised ARCH structures
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Likelihood-based estimation of latent generalised ARCH structures.
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Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components.
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Maximum likelihood estimation of regression models with stochastic trend components
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Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
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Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
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Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
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Stochastic Volatility.
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Bayesian Analysis of Stochastic Volatility Models: Comment.
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Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes".
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Simulation-Based Likelihood Inference for Limited Dependent Processes.
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Simulation-based likelihood inference for limited dependent processes
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Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
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Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
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Stochastic Volatility: Origins and Overview.
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Stochastic volatility: origins and overview
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Higher order variation and stochastic volatility models.
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Realised power variation and stochastic volatility models.
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Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
de réir: Barndorff-Nielsen, O, et al.
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Econometric analysis of realised volatility and its use in estimating stochastic volatility models
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