University of Sydney
Sydney, NSW 2006
Australia
http://www.marcelscharth.com
The University of Sydney
SSRN RANKINGS
in Total Papers Citations
Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity
Generalised autoregressive score model, Importance sampling, Model confidence set, Nonlinear state space model, Weibull-gamma mixture
Kalman filter, Monte Carlo maximum likelihood, numerical integration, stochastic copula, stochastic conditional duration, stochastic volatility
Kalman filter, leverage, realised volatility, simulated maximum likelihood
Efficient importance sampling, marginal likelihood, multinomial logit, particle marginal Metropolis-Hastings, optimal number of particles, stochastic volatility
Bayesian inference, Control variates, Mixed Logit, PMCMC, Markov Modulated Poisson Process, Rao-Blackwellization, Variance reduction
Bayesian inference, particle filters, particle marginal Metropolis-Hastings, sequential Monte Carlo, stochastic volatility
