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Student‐t stochastic volatility model with composite likelihood EM‐algorithm
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Outgoing claims: the papers this work cites, builds on, or argues with.
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An empirical application of stochastic volatility models
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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
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Bayesian estimation in Kibble's bivariate gamma distribution
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Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility
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A Random Matrix Theory Approach to Quantifying Collective Behavior of Stock Price Fluctuations
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Generalized autoregressive conditional heteroskedasticity
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ARCH models as diffusion approximations
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Leverage, heavy-tails and correlated jumps in stochastic volatility models
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Estimating stochastic volatility models using daily returns and realized volatility simultaneously
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Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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Bayesian semiparametric stochastic volatility modeling
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Markov chain Monte Carlo methods for stochastic volatility models
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A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
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Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
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A Stochastic Volatility Model With Realized Measures for Option Pricing
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Maximum Likelihood from Incomplete Data Via the EM Algorithm
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inferredcites →https://doi.org/10.1142/s0219024900000255openalex-snapshot
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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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First-order autoregressive models for gamma and exponential processes
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An overview of composite likelihood methods
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Robust Adaptive Filtering via Maximum Likelihood Method Based on Student's-t Mixture Model
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Exact likelihood for inverse gamma stochastic volatility models
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Approximate Factor Models with a Common Multiplicative Factor for Stochastic Volatility
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