Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter (Q4458366): Difference between revisions

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scientific article; zbMATH DE number 2060130

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English	Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter	scientific article; zbMATH DE number 2060130

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instance of

scholarly article

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title

Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter (English)

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The Econometrics Journal

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publication date

17 March 2004

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zbMATH Keywords

Markov chain Monte Carlo (MCMC) techniques

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heavy tailed distributions

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non-Gaussian nonlinear state-space models

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describes a project that uses

Fahrmeir

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BUGS

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MaRDI profile type

MaRDI publication profile

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cites work

On Gibbs sampling for state space models

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Monte Carlo methods in Bayesian computation

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Markov chain Monte Carlo methods for stochastic volatility models.

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Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review

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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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Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl

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Objections to Bayesian statistics

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Contemporary Bayesian Econometrics and Statistics

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Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships

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Q4954403

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Q4003880

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Multivariate Stochastic Variance Models

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Monte Carlo sampling methods using Markov chains and their applications

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Efficient Derivative Codes through Automatic Differentiation and Interface Contraction: An Application in Biostatistics

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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BUGS for a Bayesian analysis of stochastic volatility models

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Filtering via Simulation: Auxiliary Particle Filters

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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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Q4272782

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The Price Variability-Volume Relationship on Speculative Markets

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Identifiers

zbMATH Open document ID

1065.91533

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DOI

10.1111/1368-423X.t01-1-00116

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4458366

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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+On Gibbs sampling for state space models
@@ Property / cites work: On Gibbs sampling for state space models / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods in Bayesian computation
@@ Property / cites work: Monte Carlo methods in Bayesian computation / rank @@
+Normal rank
@@ Property / cites work @@
+Markov chain Monte Carlo methods for stochastic volatility models.
+Normal rank
@@ Property / cites work @@
+Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
+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 @@
+Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl
+Normal rank
@@ Property / cites work @@
+Objections to Bayesian statistics
@@ Property / cites work: Objections to Bayesian statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Contemporary Bayesian Econometrics and Statistics
@@ Property / cites work: Contemporary Bayesian Econometrics and Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships
+Normal rank
@@ Property / cites work @@
+Q4954403
@@ Property / cites work: Q4954403 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4003880
@@ Property / cites work: Q4003880 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo sampling methods using Markov chains and their applications
+Normal rank
@@ Property / cites work @@
+Efficient Derivative Codes through Automatic Differentiation and Interface Contraction: An Application in Biostatistics
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+BUGS for a Bayesian analysis of stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Filtering via Simulation: Auxiliary Particle Filters
+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 @@
+Q4272782
@@ Property / cites work: Q4272782 / rank @@
+Normal rank
@@ Property / cites work @@
+The Price Variability-Volume Relationship on Speculative Markets
+Normal rank