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Publications by Bastian Gribisch

Multivariate Wishart Stochastic Volatility and Changes in Regime

AStA Advances in Statistical Analysis

Applied Mathematics

Social Sciences

English

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Calibration and Advanced Simulation Schemes for the Wishart Stochastic Volatility Model

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Regime-Switching Stochastic Volatility and Short-Term Interest Rates

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Option Pricing in Multivariate Stochastic Volatility Models of OU Type

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Forecasting Value-At-Risk Using Block Structure Multivariate Stochastic Volatility Models

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Stochastic Volatility and Stochastic Leverage

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Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode

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Herding and Stochastic Volatility

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Stochastic Volatility of Volatility in Continuous Time

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Nonparametric Stochastic Volatility

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