[Bayesian Analysis of Stochastic Volatility Models]: Reply

Eric Jacquier; Nicholas G. Polson; Peter E. Rossi

doi:10.2307/1392209

[Bayesian Analysis of Stochastic Volatility Models]: Reply

Journal of Business and Economic Statistics ◽

10.2307/1392209 ◽

1994 ◽

Vol 12 (4) ◽

pp. 413 ◽

Cited By ~ 15

Author(s):

Eric Jacquier ◽

Nicholas G. Polson ◽

Peter E. Rossi

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series

Econometric Reviews ◽

10.1080/07474938.2019.1630075 ◽

2019 ◽

Vol 39 (4) ◽

pp. 319-343 ◽

Cited By ~ 3

Author(s):

Stefanos Dimitrakopoulos ◽

Michalis Kolossiatis

Keyword(s):

Time Series ◽

Bayesian Analysis ◽

Stochastic Volatility ◽

Financial Time Series ◽

Moving Average ◽

Stochastic Volatility Models ◽

Financial Time ◽

Volatility Models

Download Full-text

Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

Econometric Reviews ◽

10.1080/07474930600713424 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 335-360 ◽

Cited By ~ 50

Author(s):

Roman Liesenfeld ◽

Jean-François Richard

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Multivariate Stochastic Volatility

Download Full-text

[Bayesian Analysis of Stochastic Volatility Models]: Comment

Journal of Business and Economic Statistics ◽

10.2307/1392206 ◽

1994 ◽

Vol 12 (4) ◽

pp. 403 ◽

Cited By ~ 1

Author(s):

Daniel B. Nelson

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

[Bayesian Analysis of Stochastic Volatility Models]: Comment

Journal of Business and Economic Statistics ◽

10.2307/1392200 ◽

1994 ◽

Vol 12 (4) ◽

pp. 389 ◽

Cited By ~ 1

Author(s):

Torben G. Andersen

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

BUGS for a Bayesian analysis of stochastic volatility models

Econometrics Journal ◽

10.1111/1368-423x.00046 ◽

2000 ◽

Vol 3 (2) ◽

pp. 198-215 ◽

Cited By ~ 117

Author(s):

Renate Meyer ◽

Jun Yu

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

[Bayesian Analysis of Stochastic Volatility Models]: Comment

Journal of Business and Economic Statistics ◽

10.2307/1392203 ◽

1994 ◽

Vol 12 (4) ◽

pp. 397 ◽

Cited By ~ 14

Author(s):

John Geweke

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

[Bayesian Analysis of Stochastic Volatility Models]: Comment

Journal of Business and Economic Statistics ◽

10.2307/1392205 ◽

1994 ◽

Vol 12 (4) ◽

pp. 402

Author(s):

Andrew C. Harvey ◽

Esther Ruiz

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Bayesian Analysis of Stochastic Volatility Models with Levy Jumps : Application to Risk Analysis

Finance and Economics Discussion Series ◽

10.17016/feds.2009.40 ◽

2009 ◽

Vol 2009 (40) ◽

pp. 1-45

Author(s):

Pawel J. Szerszen ◽

Keyword(s):

Risk Analysis ◽

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Lévy Jumps

Download Full-text

[Bayesian Analysis of Stochastic Volatility Models]: Comment

Journal of Business and Economic Statistics ◽

10.2307/1392204 ◽

1994 ◽

Vol 12 (4) ◽

pp. 399 ◽

Cited By ~ 4

Author(s):

Eric Ghysels ◽

Joanna Jasiak

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text

Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

Journal of Econometrics ◽

10.1016/j.jeconom.2003.09.001 ◽

2004 ◽

Vol 122 (1) ◽

pp. 185-212 ◽

Cited By ~ 312

Author(s):

Eric Jacquier ◽

Nicholas G. Polson ◽

Peter E. Rossi

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Correlated Errors ◽

Fat Tails ◽

Stochastic Volatility Models ◽

Volatility Models

Download Full-text