Found 190 Documents (Results 1–100)
Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives. (English) Zbl 07848243
MSC:
90Bxx
Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture. (English) Zbl 1522.62080
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (English) Zbl 1542.62144
MSC:
62P20
Investigating volatility transmission across international equity markets using multivariate fractional models. (English) Zbl 07744743
MSC:
90-XX
Unrestricted, restricted, and regularized models for forecasting multivariate volatility. (English) Zbl 07734252
Multivariate continuous-time autoregressive moving-average processes on cones. (English) Zbl 1524.60074
Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus. (English) Zbl 07705112
MSC:
62-XX
Asymmetric volatility impulse response functions. (English) Zbl 07647168
MSC:
62-XX
Liquidity and volatility of stocks moved from the main market to the alternative investment market (AIM). (English) Zbl 1497.91297
MSC:
91G15
Geometric ergodicity of the multivariate COGARCH(1,1) process. (English) Zbl 1500.60045
Reviewer: Romeo Negrea (Timişoara)
A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions. (English) Zbl 07497101
MSC:
62-XX
On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach. (English) Zbl 1477.62293
Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach. (English) Zbl 1476.62201
The multivariate mixture dynamics model: shifted dynamics and correlation skew. (English) Zbl 1475.91350
A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation. (English) Zbl 1467.62145
Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing. (English) Zbl 1461.91313
Realized semicovariances. (English) Zbl 1467.62172
Dynamic principal component CAW models for high-dimensional realized covariance matrices. (English) Zbl 1467.62174
Generalized dynamic factor models and volatilities: estimation and forecasting. (English) Zbl 1476.62220
Hallin, Marc (ed.) et al., Time series in high dimensions. The general dynamic factor model. Hackensack, NJ: World Scientific. 557-597 (2020).
Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data. (English) Zbl 1456.62172
Digital currencies: a multivariate GARCH approach. (English) Zbl 1443.91348
Pardalos, Panos (ed.) et al., Mathematical research for blockchain economy. Proceedings of the 1st international conference on mathematical research for blockchain economy, MARBLE 2019, Santorini, Greece, May 6–9, 2019. Cham: Springer. Springer Proc. Bus. Econ., 61-75 (2020).
Multivariate count autoregression. (English) Zbl 1456.62155
Reviewer: Oleksandr Kukush (Kyïv)
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series. (English) Zbl 1507.62008
Multivariate GARCH models for large-scale applications: a survey. (English) Zbl 1439.62187
Vinod, Hrishikesh D. (ed.) et al., Conceptual econometrics using R. Amsterdam: Elsevier/North Holland. Handb. Stat. 41, 193-242 (2019).
Multivariate volatility estimation of SVAR-GARCH model. (Chinese. English summary) Zbl 1449.62275
GARCH models. Structure, statistical inference and financial applications. 2nd edition. (English) Zbl 1431.62004
Hoboken, NJ: John Wiley & Sons (ISBN 978-1-119-31357-1/hbk; 978-1-119-31347-2/ebook). xvi, 487 p. (2019).
Reviewer: Jonas Šiaulys (Vilnius)
A local Gaussian bootstrap method for realized volatility and realized beta. (English) Zbl 1428.62499
Reviewer: Tamás Mátrai (Edinburgh)
A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets. (English) Zbl 07930715
MSC:
62P20
Dynamic correlation multivariate stochastic volatility with latent factors. (English) Zbl 1541.62286
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (English) Zbl 1507.62285
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes. (English. French summary) Zbl 1404.62081
A multivariate stochastic volatility model with applications in the foreign exchange market. (English) Zbl 1417.91496
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data. (English) Zbl 1395.62324
Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data. (English) Zbl 1415.62079
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (English) Zbl 1386.62037
A semiparametric nonlinear quantile regression model for financial returns. (English) Zbl 1507.62312
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model. (English) Zbl 1524.62416
Bayesian analysis of multivariate stochastic volatility with skew return distribution. (English) Zbl 1524.62514
Multi-asset option pricing in incomplete market driven by multivariate normal tempered stable process. (English) Zbl 1408.91226
Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis. (English) Zbl 1483.62093
Generalized dynamic factor models and volatilities: estimation and forecasting. (English) Zbl 1377.62194
Multilevel models with stochastic volatility for repeated cross-sections: an application to tribal art prices. (English) Zbl 1416.62657
Multivariate Wishart stochastic volatility and changes in regime. (English) Zbl 1443.62351
MSC:
62P05
Linear time-varying regression with copula-DCC-GARCH models for volatility. (English) Zbl 1400.62182
Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. (English) Zbl 1466.62199
Estimation and empirical performance of non-scalar dynamic conditional correlation models. (English) Zbl 1466.62025
A Markov chain estimator of multivariate volatility from high frequency data. (English) Zbl 1359.62344
Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 361-394 (2016).
Multivariate subordination of Markov processes with financial applications. (English) Zbl 1351.60103
Riding with the four horsemen and the multivariate normal tempered stable model. (English) Zbl 1396.62241
Proximity-structured multivariate volatility models. (English) Zbl 1491.62150
Econom. Rev. 34, No. 5, 559-593 (2015); correction ibid. 36, No. 4, 493 (2017).
Modeling conditional correlations of asset returns: a smooth transition approach. (English) Zbl 1491.62261
A dynamic double asymmetric copula generalized autoregressive conditional heteroskedasticity model: application to China’s and US stock market. (English) Zbl 1514.62553
MSC:
62-XX
Some properties of stochastic volatility model that are induced by its volatility sequence. (English) Zbl 1486.62274
Implied volatility of basket options at extreme strikes. (English) Zbl 1418.91516
Friz, Peter K. (ed.) et al., Large deviations and asymptotic methods in finance. Cham: Springer. Springer Proc. Math. Stat. 110, 175-212 (2015).
A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models. (English) Zbl 1349.62533
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance. (English) Zbl 1337.62317
Consistently determining the number of factors in multivariate volatility modelling. (English) Zbl 1415.62067
Risks of large portfolios. (English) Zbl 1331.91204
Heavy tailed time series with extremal independence. (English) Zbl 1333.60102
Reviewer: Eugen Paltanea (Braşov)
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing. (English) Zbl 1337.62316
A law of large numbers for the power variation of fractional Lévy processes. (English) Zbl 1316.60038
The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets. (English) Zbl 1463.62346
Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model. (English) Zbl 1463.62356
Multivariate stochastic volatility estimation using particle filters. (English) Zbl 1331.91207
Akritas, Michael G. (ed.) et al., Topics in nonparametric statistics. Proceedings of the first conference of the International Society for Nonparametric Statistics, ISNPS, Chalkidiki, Greece, June 15–19, 2012. New York, NY: Springer (ISBN 978-1-4939-0568-3/hbk; 978-1-4939-0569-0/ebook). Springer Proceedings in Mathematics & Statistics 74, 335-345 (2014).
Filter Results by …
Document Type
- Journal Articles (175)
- Collection Articles (14)
- Books (1)
all
top 5
Author
- Asai, Manabu (10)
- McAleer, Michael (9)
- Omori, Yasuhiro (5)
- Triantafyllopoulos, Kostas (5)
- Hafner, Christian Matthias (4)
- Stelzer, Robert (4)
- Teräsvirta, Timo (4)
- Hallin, Marc (3)
- Ishihara, Tsunehiro (3)
- Li, Wai Keung (3)
- Shephard, Neil (3)
- Silvennoinen, Annastiina (3)
- Wang, Yazhen (3)
- Anatolyev, Stanislav (2)
- Barigozzi, Matteo (2)
- Bauwens, Luc Claude A. (2)
- Bianchi, Michele Leonardo (2)
- Bollerslev, Tim (2)
- Caporin, Massimiliano (2)
- Chan, Felix T. S. (2)
- Davis, Richard A. (2)
- Fan, Jianqing (2)
- Fokianos, Konstantinos (2)
- Gribisch, Bastian (2)
- Herwartz, Helmut (2)
- Hotta, Luiz Koodi (2)
- Kim, Donggyu (2)
- Kong, Xinbing (2)
- Malliavin, Paul (2)
- Mancino, Maria Elvira (2)
- Mikosch, Thomas (2)
- Okhrin, Yarema (2)
- Ortega, Juan-Pablo (2)
- Patton, Andrew J. (2)
- Polasek, Wolfgang (2)
- Quaedvlieg, Rogier (2)
- Rezapour, Mohsen (2)
- Rombouts, Jeroen V. K. (2)
- Sheppard, Kevin (2)
- Sriboonchitta, Songsak (2)
- Tassinari, Gian Luca (2)
- Tjøstheim, Dag B. (2)
- Wang, Junyuan (2)
- Xie, Pengfei (2)
- Ye, Jimin (2)
- Yu, Jun (2)
- Abass, O. (1)
- Abou Alela, Hanaa Hussein Ali (1)
- Aghabazaz, Zeynab (1)
- Aguilar, Omar (1)
- Alexander, Carol (1)
- Aloui, Chaker (1)
- Altay-Salih, Aslihan (1)
- Archakov, Ilya (1)
- Audrino, Francesco (1)
- Avdulaj, Krenar (1)
- Baczynski, Jack (1)
- Balakrishnan, Narayanaswamy (1)
- Barndorff-Nielsen, Ole Eiler (1)
- Barthel, Nicole (1)
- Bartolucci, Francesco (1)
- Barunik, Jozef (1)
- Bélisle, Louis (1)
- Belomestny, Denis (1)
- Benth, Fred Espen (1)
- Bloomfield, Peter (1)
- Boček, Pavel (1)
- Boonyanuphong, Phattanan (1)
- Boudt, Kris (1)
- Bouezmarni, Taoufik (1)
- Brechmann, Eike Christian (1)
- Breidt, F. Jay (1)
- Brigo, Damiano (1)
- Burda, Martin (1)
- Busch, Marie (1)
- Cagnone, Silvia (1)
- Calvet, Laurent-Emmanuel (1)
- Caporale, Guglielmo Maria (1)
- Casarin, Roberto (1)
- Catani, Paul (1)
- Cattivelli, Luca (1)
- Chang, Chen-Ye (1)
- Chib, Siddhartha (1)
- Chrétien, Stéphane (1)
- Chuang, Chungchu (1)
- Chuliá, Helena (1)
- Clements, Adam E. (1)
- Climent, Francisco J. (1)
- Czado, Claudia (1)
- da Silva, Allan Jonathan (1)
- da Veiga, Bernardo (1)
- De Giovanni, Livia (1)
- De Luca, Giovanni (1)
- de Veiga, Bernardo (1)
- Deng, Chunliang (1)
- Ding, Yi (1)
- Doukhan, Paul (1)
- Doz, Catherine (1)
- Du, Ziping (1)
- Duffie, James Darrell (1)
- and 257 more Authors
all
top 5
Serial
- J. Econom. (17)
- Econom. Rev. (15)
- Comput. Stat. Data Anal. (10)
- Quant. Finance (8)
- Econ. Lett. (7)
- Bernoulli (6)
- J. Time Ser. Anal. (5)
- Stud. Nonlinear Dyn. Econom. (5)
- Ann. Stat. (4)
- Math. Comput. Simul. (4)
- J. Bus. Econ. Stat. (4)
- Biometrika (3)
- J. Multivariate Anal. (3)
- J. Stat. Comput. Simulation (3)
- Stat. Sin. (3)
- Econom. J. (3)
- Appl. Stoch. Models Bus. Ind. (3)
- Econometrica (2)
- Commun. Stat., Simulation Comput. (2)
- Commun. Stat., Theory Methods (2)
- Math. Finance (2)
- Int. J. Theor. Appl. Finance (2)
- J. Appl. Stat. (2)
- Thai J. Math. (2)
- J. Forecast. (2)
- SIAM J. Financ. Math. (2)
- Random Matrices Theory Appl. (2)
- Adv. Appl. Probab. (1)
- Fuzzy Sets Syst. (1)
- J. Am. Stat. Assoc. (1)
- J. Comput. Appl. Math. (1)
- J. Stat. Plann. Inference (1)
- Metron (1)
- Stat. Neerl. (1)
- Nat. Sci. J. Xiangtan Univ. (1)
- Stat. Probab. Lett. (1)
- Oper. Res. Lett. (1)
- Math. Pract. Theory (1)
- Stochastic Anal. Appl. (1)
- J. Niger. Math. Soc. (1)
- Statistics (1)
- Rev. Mat. Estat. (1)
- J. Econ. Dyn. Control (1)
- Ann. Oper. Res. (1)
- Japan J. Ind. Appl. Math. (1)
- Comput. Stat. (1)
- Eur. J. Oper. Res. (1)
- Linear Algebra Appl. (1)
- SIAM Rev. (1)
- Stochastic Processes Appl. (1)
- Ann. Inst. Henri Poincaré, Probab. Stat. (1)
- Appl. Math. Finance (1)
- Int. Trans. Oper. Res. (1)
- Tamsui Oxf. J. Manage. Sci. (1)
- J. R. Stat. Soc., Ser. B, Stat. Methodol. (1)
- Extremes (1)
- Acta Math. Sin., Engl. Ser. (1)
- Commun. Nonlinear Sci. Numer. Simul. (1)
- Econom. Theory (1)
- J. Nonlinear Convex Anal. (1)
- Adv. Appl. Stat. (1)
- J. Harbin Inst. Technol. (N.S.) (1)
- J. Mach. Learn. Res. (1)
- J. Jilin Univ., Sci. (1)
- J. Syst. Eng. (1)
- J. Intell. Fuzzy Syst. (1)
- Asia-Pac. Financ. Mark. (1)
- Rev. Deriv. Res. (1)
- Comput. Manag. Sci. (1)
- Stochastics (1)
- Stat. Methodol. (1)
- AStA, Adv. Stat. Anal. (1)
- Ann. Appl. Stat. (1)
- Jpn. J. Math. (3) (1)
- J. Indian Soc. Agric. Stat. (1)
- Sankhyā, Ser. B (1)
- Ann. Finance (1)
- Depend. Model. (1)
- Jpn. J. Stat. Data Sci. (1)
all
top 3
Software
- R (6)
- RiskMetrics (5)
- QRM (4)
- Stan (3)
- BUGS (2)
- CODA (2)
- FinTS (2)
- MFE toolbox (2)
- WinBUGS (2)
- bvarsv (2)
- rmgarch (2)
- AutoSEARCH (1)
- BEKKs (1)
- CAViaR (1)
- CRAN (1)
- CVX (1)
- CopulaModel (1)
- EBayesThresh (1)
- EViews (1)
- Emmixuskew (1)
- FRK (1)
- Forecast (1)
- GAS (1)
- GAUSS (1)
- GHICA (1)
- GitHub (1)
- JADE (1)
- KELLEY (1)
- KernSmooth (1)
- Mathematica (1)
- Matlab (1)
- NEOS (1)
- NUTS (1)
- Octave (1)
- OpenCourseWare (1)
- Ox (1)
- PhaseLift (1)
- RMetrics (1)
- SAS (1)
- Wirtinger Flow (1)
- astsa (1)
- brms (1)
- ccgarch (1)
- clusfind (1)
- dlm (1)
- fGarch (1)
- filterSQP (1)
- forecast (1)
- gets (1)
- haarfisz (1)
- itsmr (1)
- lgarch (1)
- mctoolbox (1)
- moQuantile (1)
- quantmod (1)
- quantreg (1)
- sn (1)
- stochvol (1)
- vbdcast (1)
- wavelets (1)
- wmtsa (1)