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Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2013-09Discussion paper series. CIRJE-FCIRJE-F-904
Other Libraries in Japan
  • Subject Heading...in Monte Carlo Multi-move sampler Multivariate stochastic volat...

Dynamic Equicorrelation Stochastic Volatility

Dynamic Equicorrelation Stochastic Volatility
Paper文書・図像類
Kurose, Yuta, Omori, Yasuhiro日本経済国際共同センター2013-11Discussion paper series. CIRJE-FCIRJE-F-907
Other Libraries in Japan
  • Subject Heading...in Monte Carlo multi-move sampler multivariate stochastic volat...

Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline

Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline
Paper文書・図像類
Kurose, Yuta, Omori, Yasuhiro日本経済国際共同センター2011-04Discussion paper series. CIRJE-FCIRJE-F-798
Other Libraries in Japan
  • Subject Heading...in Monte Carlo multi-move sampler smoothing spline state space ...

Matrix Exponential Stochastic Volatility with Cross Leverage

Matrix Exponential Stochastic Volatility with Cross Leverage
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro, Asai, Manabu日本経済国際共同センター2011-08Discussion paper series. CIRJE-FCIRJE-F-812
Other Libraries in Japan
  • Subject Heading...in Monte Carlo Multi-move sampler Multivariate stochastic volat...

Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline

Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline
Paper文書・図像類
Kurose, Yuta, Omori, Yasuhiro日本経済国際共同センター2012-03Discussion paper series. CIRJE-FCIRJE-F-845
Other Libraries in Japan
  • Subject Heading...in Monte Carlo multi-move sampler smoothing spline state space ...

Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
Paper文書・図像類
Ishihara, Tsunehiro, Omori, Yasuhiro日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-746
Other Libraries in Japan
  • Subject Heading...in Monte Carlo Multi-move sampler Multivariate stochastic volat...

Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously

Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously
Paper文書・図像類
Takahashi, Makoto, Omori, Yasuhiro, Watanabe, Toshiaki日本経済国際共同センター2007-09Discussion paper series. CIRJE-FCIRJE-F-515
Other Libraries in Japan
  • Subject Heading...in Monte Carlo Multi-move sampler Realized volatility Stochasti...

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