Estimation methods for stochastic volatility models: a survey

By Carmen Broto, Esther Ruiz. 2004

273 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8435ec760de6acfce86693f4a0456a26af8fb42d

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Citations in the corpus

Multivariate Stochastic Volatility: A Review (2006, methodology): “(1996) and Shephard (1996), while estimation methods for univariate SV models were reviewed in Broto and Ruiz (2004). Shephard (2005) collects some of the more important studies on the topic. Although there have already been many practical and successful applications of multivariate GARCH models, th”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, background): “See, for instance, Shephard (2005) for a collection of important papers on this subject, Broto and Ruiz (2004) for a survey of estimation methods for univariate SV models as well as Asai et al. (2006) for a recent review on multivariate SV models.”
Kalman filter-based modelling and forecasting of stochastic volatility with threshold (2015, methodology): “A good description of SV models is given in [2,6].”
Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility (2011, unknown): “There are many computational schemes in the literature that deal with this problem by including the log-volatilities h1, h2, . . . , hn in a Markov chain Monte Carlo (MCMC) sampler (see Broto and Ruiz (2004) for a review).”
Multivariate stochastic volatility (2009, methodology): “To fix notation and set the stage for our discussion, the canonical version of the univariate SV model is given by (Ghysels, Harvey, and Renault (1996), Broto and Ruiz (2004) and Shephard (2004))”
Estimating correlation from high, low, opening and closing prices (2008, methodology): “Having chosen a particular model for volatility, the question of estimating it now arises; again, there is no shortage of papers which propose methods of doing just this; see the survey (Broto and Ruiz, 2004) for further references.”