Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
Computational Statistics & Data Analysis
Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
Computational Statistics & Data Analysis
Sequential calibration of options
Computational Statistics & Data Analysis
Block sampler and posterior mode estimation for asymmetric stochastic volatility models
Computational Statistics & Data Analysis
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Computational Statistics & Data Analysis
Multivariate reduced rank regression in non-Gaussian contexts, using copulas
Computational Statistics & Data Analysis
Computational Statistics & Data Analysis
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
Computational Statistics & Data Analysis
Volatility forecasting using threshold heteroskedastic models of the intra-day range
Computational Statistics & Data Analysis
Volatility spillovers, interdependence and comovements: A Markov Switching approach
Computational Statistics & Data Analysis
Computational Statistics & Data Analysis
A GMM procedure for combining volatility forecasts
Computational Statistics & Data Analysis
The role of long memory in hedging effectiveness
Computational Statistics & Data Analysis
Maximizing equity market sector predictability in a Bayesian time-varying parameter model
Computational Statistics & Data Analysis
A Bayesian approach to estimate the marginal loss distributions in operational risk management
Computational Statistics & Data Analysis
Modelling residuals dependence in dynamic life tables: A geostatistical approach
Computational Statistics & Data Analysis
Wavelet analysis of stock returns and aggregate economic activity
Computational Statistics & Data Analysis
Computational Statistics & Data Analysis
Editorial: The sixth special issue on computational econometrics
Computational Statistics & Data Analysis
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