Reference health
Periodic autoregressive stochastic volatility
35/35 checkable references clean · checked 2026-08-09
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 35 checked references that resolve
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Markov chain Monte Carlo methods for stochastic volatility models
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A Central Limit Theorem for Parameter Estimation in Stationary Vector Time Series and its Application to Models for a Signal Observed with Noise
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A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices
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The 11 references without a DOI — listed, not checked
no DOI — not checkedBillingsley P (1995) Probability and measure, 3rd edn. Wiley, New York
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no DOI — not checkedBreidt FJ (1997) A threshold autoregressive stochastic volatility. http://citeseer.ist.psu.edu/103850.html
no DOI — not checkedGhysels E, Harvey AC, Renault E (1996) Stochastic volatility. In: Rao CR, Maddala GS (eds) Statistical Methods in Finance. North-Holland, Amsterdam
no DOI — not checkedGladyshev EG (1961) Periodically correlated random sequences. Sov Math 2:385–388
no DOI — not checkedJacquier E, Polson NG, Rossi PE (1994) Bayesian analysis of stochastic volatility models. J Bus Econ Stat 12:413–417
no DOI — not checkedLjung L, Söderström T (1983) Theory and practice of recursive identification. MIT Press, Cambridge
no DOI — not checkedOsborn DR, Savva CS, Gill L (2008) Periodic dynamic conditional correlations between stock markets in Europe and the US. J Financ Econ 6:307–325
no DOI — not checkedTaylor SJ (1982) Financial returns modelled by the product of two stochastic processes—a study of daily sugar prices, 1961–1979. In: Anderson OD (ed) Time series analysis: theory and practice. North-Holland, Amsterdam, pp 203–226
no DOI — not checkedTiao GC, Grupe MR (1980) Hidden periodic autoregressive-moving average models in time series data. Biometrika 67:365–373
no DOI — not checkedTsiakas I (2006) Periodic stochastic volatility and fat tails. J Financ Econ 4:90–135
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