Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.

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Bibliografische gegevens
Hoofdauteurs:	Kim, S, Shephard, N, Chib, S
Andere auteurs:	Newbold, P
Formaat:	Book section
Taal:	English
Gepubliceerd in:	Elgar 2003

Gelijkaardige items

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
door: Kim, S, et al.
Gepubliceerd in: (2005)

Stochastic volatility: likelihood inference and comparison with ARCH models.
door: Kim, S, et al.
Gepubliceerd in: (1994)

Stochastic volatility with leverage: fast likelihood inference.
door: Omori, Y, et al.
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Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
door: Omori, Y, et al.
Gepubliceerd in: (2007)

Stochastic volatility with leverage: fast and efficient likelihood inference
door: Omori, Y, et al.
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Likelihood based inference for diffusion driven models.
door: Chib, S, et al.
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Likelihood Inference for Discretely Observed Nonlinear Diffusions.
door: Elerain, O, et al.
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Likelihood inference for Discretely Observed Non-linear Diffusions.
door: Elerian, O, et al.
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Likelihood inference for discretely observed non-linear diffusions
door: Elerian, O, et al.
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Likelihood inference for discretely observed non-linear diffusions.
door: Elerian, O, et al.
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Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models
door: Omar Abbara, et al.
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Analysis of High Dimensional Multivariate Stochastic Volatility Models.
door: Chib, S, et al.
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Analysis of high dimensional multivariate stochastic volatility models
door: Chib, S, et al.
Gepubliceerd in: (2006)

Markov chain Monte Carlo methods for stochastic volatility models
door: Chib, S, et al.
Gepubliceerd in: (2002)

Markov Chain Monte Carlo Methods for Stochastic Volatility Models.
door: Chib, S, et al.
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Simulated likelihood inference for stochastic volatility models using continuous particle filtering
door: Pitt, M, et al.
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Simulated likelihood inference for stochastic volatility models using continuous particle filtering
door: Pitt, M, et al.
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Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.
door: Chib, S, et al.
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Likelihood-based estimation of latent generalised ARCH structures.
door: Fiorentini, G, et al.
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Likelihood-based estimation of latent generalised ARCH structures
door: Fiorentini, G, et al.
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Likelihood-based estimation of latent generalised ARCH structures.
door: Fiorentini, G, et al.
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Maximum Likelihood Estimation of Regression Models with Stochastic Trend Components.
door: Shephard, N
Gepubliceerd in: (1993)

Maximum likelihood estimation of regression models with stochastic trend components
door: Shephard, N
Gepubliceerd in: (1993)

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
door: Bos, C, et al.
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Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
door: Bos, C, et al.
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Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
door: Bos, C, et al.
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Stochastic Volatility.
door: Shephard, N
Gepubliceerd in: (2005)

Bayesian Analysis of Stochastic Volatility Models: Comment.
door: Shephard, N, et al.
Gepubliceerd in: (1994)

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

Simulation-Based Likelihood Inference for Limited Dependent Processes.
door: Manrique, A, et al.
Gepubliceerd in: (1998)

Simulation-based likelihood inference for limited dependent processes
door: Manrique, A, et al.
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Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
door: Flury, T, et al.
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Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
door: Flury, T, et al.
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Stochastic Volatility: Origins and Overview.
door: Shephard, N, et al.
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Stochastic volatility: origins and overview
door: Shephard, N, et al.
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Realised power variation and stochastic volatility models
door: Barndorff-Nielsen, O, et al.
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Higher order variation and stochastic volatility models.
door: Barndorff-Nielsen, O, et al.
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Realised power variation and stochastic volatility models.
door: Barndorff-Nielsen, O, et al.
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Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
door: Barndorff-Nielsen, O, et al.
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Econometric analysis of realised volatility and its use in estimating stochastic volatility models
door: Shephard, N, et al.
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