Efficient Estimation of the Stochastic Volatility Model with Leverage

Darjus Hosszejni^*, Gregor Kastner

^*Corresponding author for this work

Publication: Contribution to conference › Conference poster

19 Downloads (Pure)

Original language	English
Publication status	Published - 2018

Austrian Classification of Fields of Science and Technology (ÖFOS)

Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
Hosszejni, D. & Kastner, G., 2021, In: Journal of Statistical Software. 100, 12, p. 1 - 34
Publication: Scientific journal › Journal article › peer-review

Open Access
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104 Downloads (Pure)
stochvol
Hosszejni, D. & Kastner, G., 12 Jul 2021
Publication: Non-textual form › Software

Open Access
Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
Hosszejni, D. & Kastner, G., 2019, Bayesian Statistics and New Generations - Selected Contributions from BAYSM 2018. Raffaele Argiento, Daniele Durante, Sara Wade (ed.). Cham: Springer, p. 75 - 83
Publication: Chapter in book/Conference proceeding › Chapter in edited volume

File

68 Downloads (Pure)

ISBA World Meeting
Hosszejni, D. (Participant)
2018
Activity: Event participation/organisation › Participation in conference/workshop/congress
LMS/CRiSM Workshop
Hosszejni, D. (Participant)
2018
Activity: Event participation/organisation › Participation in conference/workshop/congress
BayesComp
Hosszejni, D. (Participant)
2018
Activity: Event participation/organisation › Participation in conference/workshop/congress