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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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Cited by:

  1. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
  2. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2021. "Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects," JRFM, MDPI, vol. 14(5), pages 1-28, May.
  3. Luca Benati, 2008. "The "Great Moderation" in the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 121-147, February.
  4. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
  5. Laurini Márcio Poletti, 2013. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
  6. Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  7. Anna Pajor, 2009. "Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 81-90.
  8. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  9. Zhang, Xibin & King, Maxwell L. & Hyndman, Rob J., 2006. "A Bayesian approach to bandwidth selection for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3009-3031, July.
  10. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
  11. Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
  12. Kenichiro McAlinn & Asahi Ushio & Teruo Nakatsuma, 2020. "Volatility forecasts using stochastic volatility models with nonlinear leverage effects," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 143-154, March.
  13. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pinter, Gabor, 2016. "VAR models with non-Gaussian shocks," LSE Research Online Documents on Economics 86238, London School of Economics and Political Science, LSE Library.
  14. Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2016. "Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 748-784, October.
  15. Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023. "A dynamic leverage stochastic volatility model," Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
  16. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  17. Faruk Selcuk, 2005. "Asymmetric stochastic volatility in emerging stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 15(12), pages 867-874.
  18. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
  19. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2018. "Measuring Uncertainty and Its Impact on the Economy," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 799-815, December.
  20. Luwen Zhang & Li Wang, 2023. "Generalized Method of Moments Estimation of Realized Stochastic Volatility Model," JRFM, MDPI, vol. 16(8), pages 1-12, August.
  21. repec:qut:auncer:2012_11 is not listed on IDEAS
  22. Yuta Kurose, 2021. "Stochastic volatility model with range-based correction and leverage," Papers 2110.00039, arXiv.org, revised Oct 2021.
  23. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
  24. Gruber, Lutz F. & West, Mike, 2017. "Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models," Econometrics and Statistics, Elsevier, vol. 3(C), pages 3-22.
  25. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 555-583, November.
  26. repec:cte:wsrepe:ws131110 is not listed on IDEAS
  27. Plakandaras, Vasilios & Gupta, Rangan & Wong, Wing-Keung, 2019. "Point and density forecasts of oil returns: The role of geopolitical risks," Resources Policy, Elsevier, vol. 62(C), pages 580-587.
  28. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
  29. C. A. Abanto-Valle & V. H. Lachos & Dipak K. Dey, 2015. "Bayesian Estimation of a Skew-Student-t Stochastic Volatility Model," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 721-738, September.
  30. Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
  31. Andreas Kaeck & Carol Alexander, 2010. "Stochastic Volatility Jump-Diffusions for Equity Index Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2010-06, Henley Business School, University of Reading.
  32. Vasilios Plakandaras & Rangan Gupta & Constantinos Katrakilidis & Mark E. Wohar, 2020. "Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data," Empirical Economics, Springer, vol. 58(5), pages 2249-2285, May.
  33. Griffin, J.E. & Steel, M.F.J., 2011. "Stick-breaking autoregressive processes," Journal of Econometrics, Elsevier, vol. 162(2), pages 383-396, June.
  34. Kawakatsu, Hiroyuki, 2007. "Specification and estimation of discrete time quadratic stochastic volatility models," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 424-442, June.
  35. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
  36. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  37. Suk Joon Byun & Jung‐Soon Hyun & Woon Jun Sung, 2021. "Estimation of stochastic volatility and option prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 349-360, March.
  38. Selçuk, Faruk, 2004. "Free float and stochastic volatility: the experience of a small open economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 693-700.
  39. Robert C. M. Beyer & Lazar Milivojevic, 2023. "Dynamics and synchronization of global equilibrium interest rates," Applied Economics, Taylor & Francis Journals, vol. 55(28), pages 3195-3214, June.
  40. Gudkov, Nikolay & Ignatieva, Katja, 2021. "Electricity price modelling with stochastic volatility and jumps: An empirical investigation," Energy Economics, Elsevier, vol. 98(C).
  41. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2024. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1403-1417, September.
  42. Adam Clements & Scott White, 2005. "Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage," School of Economics and Finance Discussion Papers and Working Papers Series 192, School of Economics and Finance, Queensland University of Technology.
  43. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
  44. Corina SAMAN, 2016. "The Impact of the US and Euro Area Financial Systemic Stress to the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 170-183, December.
  45. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  46. Catania, Leopoldo & Proietti, Tommaso, 2020. "Forecasting volatility with time-varying leverage and volatility of volatility effects," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
  47. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, University Library of Munich, Germany.
  48. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  49. Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.
  50. Carol Alexander & Andreas Kaeck, 2012. "Does model fit matter for hedging? Evidence from FTSE 100 options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 609-638, July.
  51. Michael B. Gordy & SØren Willemann, 2012. "Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models," Management Science, INFORMS, vol. 58(3), pages 476-492, March.
  52. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017. "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
  53. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
  54. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
  55. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
  56. Hedibert F. Lopes & Nicholas G. Polson, 2016. "Particle Learning for Fat-Tailed Distributions," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1666-1691, December.
  57. Dufour, Jean-Marie & García, René, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  58. Raanju R. Sundararajan & Wagner Barreto‐Souza, 2023. "Student‐t stochastic volatility model with composite likelihood EM‐algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 125-147, January.
  59. Maciej Kostrzewski & Jadwiga Kostrzewska, 2021. "The Impact of Forecasting Jumps on Forecasting Electricity Prices," Energies, MDPI, vol. 14(2), pages 1-17, January.
  60. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
  61. Malik, Sheheryar & Pitt, Michael K., 2009. "Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering," Economic Research Papers 271302, University of Warwick - Department of Economics.
  62. Lee, Jung Wun & Chung, Hwan & Jeon, Saebom, 2021. "Bayesian multivariate latent class profile analysis: Exploring the developmental progression of youth depression and substance use," Computational Statistics & Data Analysis, Elsevier, vol. 161(C).
  63. Kirby, Chris, 2006. "Linear filtering for asymmetric stochastic volatility models," Economics Letters, Elsevier, vol. 92(2), pages 284-292, August.
  64. Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
  65. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
  66. Todd E. Clark & Gergely Ganics & Elmar Mertens, 2022. "Constructing Fan Charts from the Ragged Edge of SPF Forecasts," Working Papers 22-36, Federal Reserve Bank of Cleveland.
  67. Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino, 2013. "Adaptive Sticky Generalized Metropolis," Working Papers 2013:19, Department of Economics, University of Venice "Ca' Foscari".
  68. Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
  69. Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
  70. Süleyman Taşpınar & Osman DoĞan & Jiyoung Chae & Anil K. Bera, 2021. "Bayesian Inference in Spatial Stochastic Volatility Models: An Application to House Price Returns in Chicago," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1243-1272, October.
  71. Eric Jacquier & Cedric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  72. Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
  73. Carlos A. Abanto-Valle & Gabriel Rodríguez & Hernán B. Garrafa-Aragón, 2020. "Stochastic Volatility in Mean: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers 2020-481, Departamento de Economía - Pontificia Universidad Católica del Perú.
  74. Lee, Cheol Woo & Kang, Kyu Ho, 2023. "Estimating and testing skewness in a stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 445-467.
  75. Omori, Yasuhiro & Watanabe, Toshiaki, 2008. "Block sampler and posterior mode estimation for asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2892-2910, February.
  76. Christian Hotz‐Behofsits & Florian Huber & Thomas Otto Zörner, 2018. "Predicting crypto‐currencies using sparse non‐Gaussian state space models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 627-640, September.
  77. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
  78. Wang, Joanna J.J. & Chan, Jennifer S.K. & Choy, S.T. Boris, 2011. "Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 852-862, January.
  79. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pintér, Gábor, 2017. "Forecasting with VAR models: Fat tails and stochastic volatility," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1124-1143.
  80. Nakajima, Jouchi & Omori, Yasuhiro, 2009. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April.
  81. Vito Polito & Yunyi Zhang, 2021. "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," CESifo Working Paper Series 9395, CESifo.
  82. Gerlach, Richard & Tuyl, Frank, 2006. "MCMC methods for comparing stochastic volatility and GARCH models," International Journal of Forecasting, Elsevier, vol. 22(1), pages 91-107.
  83. Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
  84. Andrea Renzetti, 2023. "Modelling and Forecasting Macroeconomic Risk with Time Varying Skewness Stochastic Volatility Models," Papers 2306.09287, arXiv.org, revised Nov 2023.
  85. Okou, Cédric & Jacquier, Éric, 2016. "Horizon effect in the term structure of long-run risk-return trade-offs," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 445-466.
  86. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2011. "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis," Energy Economics, Elsevier, vol. 33(3), pages 497-503, May.
  87. Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August.
  88. Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
  89. Carlos A. Abanto‐Valle & Roland Langrock & Ming‐Hui Chen & Michel V. Cardoso, 2017. "Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(4), pages 394-408, August.
  90. António Alberto Santos, 2015. "The evolution of the Volatility in Financial Returns: Realized Volatility vs Stochastic Volatility Measures," GEMF Working Papers 2015-10, GEMF, Faculty of Economics, University of Coimbra.
  91. Margarita Marín & Edilberto Cepeda-Cuervo, 2022. "A Bayesian Regression Model for the Non-standardized t Distribution with Location, Scale and Degrees of Freedom Parameters," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 809-830, November.
  92. Deschamps, Philippe J., 2011. "Bayesian estimation of an extended local scale stochastic volatility model," Journal of Econometrics, Elsevier, vol. 162(2), pages 369-382, June.
  93. Łukasz Kwiatkowski, 2011. "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(4), pages 187-219, December.
  94. Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
  95. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
  96. Ai-ru (Meg) Cheng & Yin-Wong Cheung, 2008. "Return, Trading Volume, and Market Depth in Currency Futures Markets," Working Papers 202008, Hong Kong Institute for Monetary Research.
  97. Yanhui Xi & Hui Peng & Yemei Qin, 2016. "Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-15, February.
  98. Bandi, F.M. & Renò, R., 2016. "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, vol. 119(1), pages 107-146.
  99. Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2022. "Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices," Papers 2211.14814, arXiv.org.
  100. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
  101. Pervin, Shahida, 2018. "Dynamics and Interactions of Monetary Policy and Macroeconomic Variables: Empirical Investigation in the UK Economy with Bayesian VAR," MPRA Paper 91816, University Library of Munich, Germany.
  102. Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018. "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
  103. Aycan HEPSAG, 2016. "Asymmetric stochastic volatility in central and eastern European stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(607), S), pages 135-144, Summer.
  104. Rydlewski, Jerzy P. & Snarska, Małgorzata, 2014. "On geometric ergodicity of skewed—SVCHARME models," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 192-197.
  105. Hsieh, Ping-Hung & Yang, J. Jimmy, 2009. "A censored stochastic volatility approach to the estimation of price limit moves," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 337-351, March.
  106. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  107. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
  108. Shirota, Shinichiro & Hizu, Takayuki & Omori, Yasuhiro, 2014. "Realized stochastic volatility with leverage and long memory," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 618-641.
  109. Chan, Joshua C.C., 2013. "Moving average stochastic volatility models with application to inflation forecast," Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
  110. Haroon Mumtaz & Paolo Surico, 2008. "Evolving international inflation dynamics: evidence from a time-varying dynamic factor model," Bank of England working papers 341, Bank of England.
  111. Doğan, Osman & Taşpınar, Süleyman & Bera, Anil K., 2021. "A Bayesian robust chi-squared test for testing simple hypotheses," Journal of Econometrics, Elsevier, vol. 222(2), pages 933-958.
  112. Hang Qian, 2014. "A Flexible State Space Model And Its Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(2), pages 79-88, March.
  113. Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.
  114. Haroon Mumtaz & Laura Sunder‐Plassmann, 2013. "Time‐Varying Dynamics Of The Real Exchange Rate: An Empirical Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 498-525, April.
  115. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  116. Hardiyanto, A.V., 2007. "Daily Rp/USD stochastic volatility and the policy implication lesson," Journal of Asian Economics, Elsevier, vol. 18(1), pages 237-256, February.
  117. Hautsch, Nikolaus & Ou, Yangguoyi, 2008. "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers 2008-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  118. Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )," CARF F-Series CARF-F-107, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  119. Zellner, Arnold & Ando, Tomohiro, 2010. "A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model," Journal of Econometrics, Elsevier, vol. 159(1), pages 33-45, November.
  120. Kastner, Gregor, 2016. "Dealing with Stochastic Volatility in Time Series Using the R Package stochvol," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 69(i05).
  121. Abdurrahman Nazif Çatik & Mehmet Karaçuka & A. Özlem Önder, 2022. "The Time-Varying Impact of External Shocks on the Consumer Price Components: Evidence from an Emerging Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(4), pages 781-807, December.
  122. Mike K. P. So & C. Y. Choi, 2009. "A threshold factor multivariate stochastic volatility model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 712-735.
  123. António A. F. Santos, 2015. "On the Forecasting of Financial Volatility Using Ultra-High Frequency Data," GEMF Working Papers 2015-17, GEMF, Faculty of Economics, University of Coimbra.
  124. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  125. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
  126. Kim Karlsson, Hyunjoo & Li, Yushu, 2024. "Investigation of Swedish krona exchange rate volatility by APARCH-Support Vector Regression," Working Papers in Economics and Statistics 10/2024, Linnaeus University, School of Business and Economics, Department of Economics and Statistics.
  127. Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
  128. Zu, Yang & Boswijk, H. Peter, 2017. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 53-75.
  129. Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2023. "Portfolio Optimisation via the Heston Model Calibrated to Real Asset Data," Papers 2302.01816, arXiv.org.
  130. Omori, Yasuhiro & Chib, Siddhartha & Shephard, Neil & Nakajima, Jouchi, 2007. "Stochastic volatility with leverage: Fast and efficient likelihood inference," Journal of Econometrics, Elsevier, vol. 140(2), pages 425-449, October.
  131. Malik, Sheheryar & Pitt, Michael K, 2009. "Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering," The Warwick Economics Research Paper Series (TWERPS) 897, University of Warwick, Department of Economics.
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