Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Mostra altre versioni (2)

Dettagli Bibliografici
Autori principali:	Kim, S, Shephard, N, Chib, S
Altri autori:	Newbold, P
Natura:	Book section
Lingua:	English
Pubblicazione:	Elgar 2003

Documenti analoghi

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Stochastic Volatility.
di: Shephard, N
Pubblicazione: (2005)

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

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

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

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

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

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

Stochastic Volatility: Origins and Overview.
di: Shephard, N, et al.
Pubblicazione: (2008)

Stochastic volatility: origins and overview
di: Shephard, N, et al.
Pubblicazione: (2008)

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

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

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

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

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