Boado-Penas, M. Carmen; Eisenberg, Julia; Helmert, Axel; Krühner, Paul A new approach for satisfactory pensions with no guarantees. (English) Zbl 1452.91263 Eur. Actuar. J. 10, No. 1, 3-21 (2020). MSC: 91G05 91G30 PDF BibTeX XML Cite \textit{M. C. Boado-Penas} et al., Eur. Actuar. J. 10, No. 1, 3--21 (2020; Zbl 1452.91263) Full Text: DOI
Ye, Wuyi; Ma, Ronggui; Wu, Zun Dynamic correlation of quantile regression model based on smooth transition mechanism. (Chinese. English summary) Zbl 07295889 J. Univ. Sci. Technol. China 49, No. 8, 668-679 (2019). MSC: 62G08 62P05 91B05 PDF BibTeX XML Cite \textit{W. Ye} et al., J. Univ. Sci. Technol. China 49, No. 8, 668--679 (2019; Zbl 07295889) Full Text: DOI
Yang, Qi; Song, Yuping Data driven confidence intervals for diffusion process using double smoothing empirical likelihood. (English) Zbl 1408.62092 J. Comput. Appl. Math. 348, 282-297 (2019). MSC: 62G15 60J65 62M05 PDF BibTeX XML Cite \textit{Q. Yang} and \textit{Y. Song}, J. Comput. Appl. Math. 348, 282--297 (2019; Zbl 1408.62092) Full Text: DOI
Yang, Biao; Stroud, Jonathan R.; Huerta, Gabriel Sequential Monte Carlo smoothing with parameter estimation. (English) Zbl 1407.62343 Bayesian Anal. 13, No. 4, 1137-1161 (2018). MSC: 62M20 62F15 62L12 62P20 PDF BibTeX XML Cite \textit{B. Yang} et al., Bayesian Anal. 13, No. 4, 1137--1161 (2018; Zbl 1407.62343) Full Text: DOI Euclid
Kim, Jong-Min; Jung, Hojin Time series forecasting using functional partial least square regression with stochastic volatility, GARCH, and exponential smoothing. (English) Zbl 1398.62308 J. Forecast. 37, No. 3, 269-280 (2018). MSC: 62P05 91G70 62M10 PDF BibTeX XML Cite \textit{J.-M. Kim} and \textit{H. Jung}, J. Forecast. 37, No. 3, 269--280 (2018; Zbl 1398.62308) Full Text: DOI
Kopa, Miloš; Vitali, Sebastiano; Tichý, Tomáš; Hendrych, Radek Implied volatility and state price density estimation: arbitrage analysis. (English) Zbl 1416.91378 Comput. Manag. Sci. 14, No. 4, 559-583 (2017). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{M. Kopa} et al., Comput. Manag. Sci. 14, No. 4, 559--583 (2017; Zbl 1416.91378) Full Text: DOI Link
Gorynin, Ivan; Derrode, Stéphane; Monfrini, Emmanuel; Pieczynski, Wojciech Fast smoothing in switching approximations of non-linear and non-Gaussian models. (English) Zbl 06917761 Comput. Stat. Data Anal. 114, 38-46 (2017). MSC: 62 PDF BibTeX XML Cite \textit{I. Gorynin} et al., Comput. Stat. Data Anal. 114, 38--46 (2017; Zbl 06917761) Full Text: DOI
Gilboa, Itzhak; Postlewaite, Andrew; Samuelson, Larry Memorable consumption. (English) Zbl 1371.91057 J. Econ. Theory 165, 414-455 (2016). MSC: 91B16 PDF BibTeX XML Cite \textit{I. Gilboa} et al., J. Econ. Theory 165, 414--455 (2016; Zbl 1371.91057) Full Text: DOI
Casarin, Roberto Comment on article by Windle and Carvalho. (English) Zbl 1327.62134 Bayesian Anal. 9, No. 4, 793-804 (2014). MSC: 62F15 15B48 62M10 PDF BibTeX XML Cite \textit{R. Casarin}, Bayesian Anal. 9, No. 4, 793--804 (2014; Zbl 1327.62134) Full Text: DOI Euclid
Dubarry, Cyrille; Douc, Randal Calibrating the exponential Ornstein-Uhlenbeck multiscale stochastic volatility model. (English) Zbl 1294.91194 Quant. Finance 14, No. 3, 443-456 (2014). MSC: 91G70 91B70 60J70 62P05 62M05 PDF BibTeX XML Cite \textit{C. Dubarry} and \textit{R. Douc}, Quant. Finance 14, No. 3, 443--456 (2014; Zbl 1294.91194) Full Text: DOI
Ye, Xuguo; Ling, Nengxiang Nonparametric estimation of volatility function with variable bandwidth parameter. (English) Zbl 1401.60154 Commun. Stat., Theory Methods 42, No. 24, 4525-4539 (2013). MSC: 60J60 62G05 62G20 PDF BibTeX XML Cite \textit{X. Ye} and \textit{N. Ling}, Commun. Stat., Theory Methods 42, No. 24, 4525--4539 (2013; Zbl 1401.60154) Full Text: DOI
McCausland, William J. The HESSIAN method: highly efficient simulation smoothing, in a nutshell. (English) Zbl 1443.62008 J. Econom. 168, No. 2, 189-206 (2012). MSC: 62-08 62M10 62M20 65C40 PDF BibTeX XML Cite \textit{W. J. McCausland}, J. Econom. 168, No. 2, 189--206 (2012; Zbl 1443.62008) Full Text: DOI Link
Laurini, Márcio Poletti Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines. (English) Zbl 1274.65019 Appl. Stoch. Models Bus. Ind. 27, No. 6, 649-659 (2011). MSC: 65D07 91G20 PDF BibTeX XML Cite \textit{M. P. Laurini}, Appl. Stoch. Models Bus. Ind. 27, No. 6, 649--659 (2011; Zbl 1274.65019) Full Text: DOI
Fengler, Matthias R. Arbitrage-free smoothing of the implied volatility surface. (English) Zbl 1182.91172 Quant. Finance 9, No. 4, 417-428 (2009). MSC: 91G20 91G60 65D07 PDF BibTeX XML Cite \textit{M. R. Fengler}, Quant. Finance 9, No. 4, 417--428 (2009; Zbl 1182.91172) Full Text: DOI
Yu, Yan; Yu, Keming; Wang, Hua; Li, Min Semiparametric estimation for a class of time-inhomogeneous diffusion processes. (English) Zbl 1166.62063 Stat. Sin. 19, No. 2, 843-867 (2009). MSC: 62M05 62G05 62G20 62P05 65C60 PDF BibTeX XML Cite \textit{Y. Yu} et al., Stat. Sin. 19, No. 2, 843--867 (2009; Zbl 1166.62063) Full Text: Link
Ziegelmann, Flavio A. A local linear least-absolute-deviations estimator of volatility. (English) Zbl 1152.62075 Commun. Stat., Simulation Comput. 37, No. 8, 1543-1564 (2008). MSC: 62P05 62G32 62G20 62G08 65C05 PDF BibTeX XML Cite \textit{F. A. Ziegelmann}, Commun. Stat., Simulation Comput. 37, No. 8, 1543--1564 (2008; Zbl 1152.62075) Full Text: DOI
Jungbacker, Borus; Koopman, Siem Jan Monte Carlo estimation for nonlinear non-Gaussian state space models. (English) Zbl 1156.62350 Biometrika 94, No. 4, 827-839 (2007). MSC: 62M20 65C05 65C60 65C40 PDF BibTeX XML Cite \textit{B. Jungbacker} and \textit{S. J. Koopman}, Biometrika 94, No. 4, 827--839 (2007; Zbl 1156.62350) Full Text: DOI
Capobianco, Enrico Frameable process with stochastic dynamics. (English) Zbl 1135.94306 EJTP, Electron. J. Theor. Phys. 3, No. 11, 85-109 (2006). MSC: 94A12 PDF BibTeX XML Cite \textit{E. Capobianco}, EJTP, Electron. J. Theor. Phys. 3, No. 11, 85--109 (2006; Zbl 1135.94306)
Lee, Youngjo; Nelder, John A.; Pawitan, Yudi Generalized linear models with random effects: unified analysis via \(h\)-likelihood. With CD-ROM. (English) Zbl 1110.62092 Monographs on Statistics and Applied Probability 106. Boca Raton, FL: Chapman & Hall/CRC (ISBN 1-58488-631-5/hbk; 978-1-4200-1134-0/ebook). x, 396 p. (2006). Reviewer: Yuehua Wu (Toronto) MSC: 62J12 62-02 62Pxx PDF BibTeX XML Cite \textit{Y. Lee} et al., Generalized linear models with random effects: unified analysis via \(h\)-likelihood. With CD-ROM. Boca Raton, FL: Chapman \& Hall/CRC (2006; Zbl 1110.62092) Full Text: DOI
Schmitt-Grohé, Stephanie; Uribe, Martín Optimal fiscal and monetary policy under sticky prices. (English) Zbl 1063.91063 J. Econ. Theory 114, No. 2, 198-230 (2004). MSC: 91B64 PDF BibTeX XML Cite \textit{S. Schmitt-Grohé} and \textit{M. Uribe}, J. Econ. Theory 114, No. 2, 198--230 (2004; Zbl 1063.91063) Full Text: DOI
Stroud, Jonathan R.; Müller, Peter; Polson, Nicholas G. Nonlinear state-space models with state-dependent variances. (English) Zbl 1041.62077 J. Am. Stat. Assoc. 98, No. 462, 377-386 (2003). MSC: 62M10 62P05 62F10 PDF BibTeX XML Cite \textit{J. R. Stroud} et al., J. Am. Stat. Assoc. 98, No. 462, 377--386 (2003; Zbl 1041.62077) Full Text: DOI
De Jong, Piet The scan sampler for time series models. (English) Zbl 0892.62066 Biometrika 84, No. 4, 929-937 (1997). MSC: 62M10 62M20 62F15 PDF BibTeX XML Cite \textit{P. De Jong}, Biometrika 84, No. 4, 929--937 (1997; Zbl 0892.62066) Full Text: DOI Link
Shephard, Neil; Pitt, Michael K. Likelihood analysis of non-Gaussian measurement time series. (English) Zbl 0888.62095 Biometrika 84, No. 3, 653-667 (1997); correction 91, No. 1, 249-250 (2004). MSC: 62M10 65C99 PDF BibTeX XML Cite \textit{N. Shephard} and \textit{M. K. Pitt}, Biometrika 84, No. 3, 653--667 (1997; Zbl 0888.62095) Full Text: DOI Link
Nelson, Daniel B. Asymptotically optimal smoothing with ARCH models. (English) Zbl 0906.62127 Econometrica 64, No. 3, 561-573 (1996). MSC: 62P20 62M20 91B84 PDF BibTeX XML Cite \textit{D. B. Nelson}, Econometrica 64, No. 3, 561--573 (1996; Zbl 0906.62127) Full Text: DOI
Nelson, Daniel B.; Foster, Dean P. Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model. (English) Zbl 0820.62098 J. Econom. 67, No. 2, 303-335 (1995). MSC: 62P20 62M20 91B84 PDF BibTeX XML Cite \textit{D. B. Nelson} and \textit{D. P. Foster}, J. Econom. 67, No. 2, 303--335 (1995; Zbl 0820.62098) Full Text: DOI