Results for Stochastic Volatility

Publications & Outputs

1. Detecting jumps in high-frequency prices under stochastic volatility: a data-driven approach

   Tsai, P-C. & Shackleton, M., 05/2016, Handbook of high-frequency trading and modeling in finance. Florescu, I., Mariani, M. C., Stanley, H. E. & Viens, F. G. (eds.). Chichester: John Wiley, p. 137-165 39 p.

   Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter (peer-reviewed) › peer-review

2. Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility

   Theodoridis, K. & Mumtaz, H., 12/2015, Lancaster: Lancaster University, Department of Economics, (Economics Working Paper Series).

   Research output: Working paper

3. MCMC for state-space models

   Fearnhead, P., 17/05/2011, Handbook of Markov Chain Monte Carlo : methods and applications. Brooks, S., Gelman, A., Jones, G. & Meng, X-L. (eds.). London: Chapman and Hall, p. 513-529 (Chapman & Hall/CRC Handbooks of Modern Statistical Methods).

   Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter