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求随机波动率(SV)模型英文文献

发布时间: 来源:人大经济论坛

(1) TITLE: Estimation methods for stochastic volatility models: a survey,

FORM:Jof Economic Surveys. December 2004 - Vol. 18 Issue 5 Page 613-742

(2) TITLE: Stochastic Volatility,(1996).

AUTHORS: Ghysels, E., Harvey, A.C., and Renault, E.

FROM: Maddala, G.S. and Rao. C.R., eds, "Handbook of Statistics" vol 14, North Holland, Amsterdam, pp. 119-191

(3)TITLE: Bayesian analysis of stochastic volatility models.

AUTHORS: Jacquier, E., Polson, N.G., and Rossi, P.E. (1994).

FROM: Journal of the American Statistical Association 12,371-417.

(4) Bayesian analysis of the stochastic volatility models with fat-tails and correlated errors.

AUTHORS: Jacquier, E., Polson, N.G., and Rossi, P.E. (2003).

FROM: Journal of Econometrics 122,185-212.

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