Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation (Q5460717): Difference between revisions

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scientific article; zbMATH DE number 2187542

Language	Label	Description	Also known as
English	Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation	scientific article; zbMATH DE number 2187542

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instance of

scholarly article

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title

Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation (English)

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Communications in Statistics - Simulation and Computation

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publication date

18 July 2005

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zbMATH Keywords

Laplace approximation

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nonlinear state space representation

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stochastic volatility

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MaRDI profile type

MaRDI publication profile

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cites work

Generalized autoregressive conditional heteroscedasticity

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A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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Stochastic volatility in asset prices. Estimation with simulated maximum likelihood

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Empirical modeling of exchange rate dynamics

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Monte Carlo maximum likelihood estimation for non-Gaussian state space models

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Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Multivariate Stochastic Variance Models

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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Non-Gaussian State-Space Modeling of Nonstationary Time Series

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Estimation of stochastic volatility models via Monte Carlo maximum likelihood

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Likelihood analysis of non-Gaussian measurement time series

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MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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The Price Variability-Volume Relationship on Speculative Markets

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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

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full work available at URL

https://doi.org/10.1081/sac-200055729

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Identifiers

zbMATH Open document ID

1066.62105

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DOI

10.1081/SAC-200055729

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5460717

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
+Normal rank
@@ Property / cites work @@
+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
+Normal rank
@@ Property / cites work @@
+Empirical modeling of exchange rate dynamics
@@ Property / cites work: Empirical modeling of exchange rate dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo maximum likelihood estimation for non-Gaussian state space models
+Normal rank
@@ Property / cites work @@
+Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Non-Gaussian State-Space Modeling of Nonstationary Time Series
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Estimation of stochastic volatility models via Monte Carlo maximum likelihood
+Normal rank
@@ Property / cites work @@
+Likelihood analysis of non-Gaussian measurement time series
+Normal rank
@@ Property / cites work @@
+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
+Normal rank
@@ Property / cites work @@
+The Price Variability-Volume Relationship on Speculative Markets
+Normal rank
@@ Property / cites work @@
+A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1081/sac-200055729
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+W1995946422
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