Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes (Q2445712): Difference between revisions

Latest revision as of 09:23, 8 July 2024

scientific article

Language	Label	Description	Also known as
English	Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes	scientific article

Statements

instance of

scholarly article

0 references

title

Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes (English)

0 references

0 references

0 references

Computational Statistics and Data Analysis

0 references

publication date

14 April 2014

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.csda.2009.06.008

0 references

cites work

Superposition of Ornstein--Uhlenbeck Type Processes

0 references

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

0 references

Generalized gamma convolutions and complete monotonicity

0 references

Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions

0 references

Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models

0 references

Q3723577

0 references

Computing Bayes Factors by Combining Simulation and Asymptotic Approximations

0 references

A Representation of Independent Increment Processes without Gaussian Components

0 references

Finite mixture and Markov switching models.

0 references

Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law

0 references

Simulation and inference for stochastic volatility models driven by Levy processes

0 references

Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection

0 references

Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

0 references

Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

0 references

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

0 references

Q4280410

0 references

Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type

0 references

Multiple time scales in volatility and leverage correlations: a stochastic volatility model

0 references

Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes

0 references

Q2738738

0 references

Identifiers

zbMATH Open document ID

1284.91586

0 references

DOI

10.1016/j.csda.2009.06.008

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2445712

@@ Property / cites work @@
+Superposition of Ornstein--Uhlenbeck Type Processes
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Generalized gamma convolutions and complete monotonicity
+Normal rank
@@ Property / cites work @@
+Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions
+Normal rank
@@ Property / cites work @@
+Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q3723577
@@ Property / cites work: Q3723577 / rank @@
+Normal rank
@@ Property / cites work @@
+Computing Bayes Factors by Combining Simulation and Asymptotic Approximations
+Normal rank
@@ Property / cites work @@
+A Representation of Independent Increment Processes without Gaussian Components
+Normal rank
@@ Property / cites work @@
+Finite mixture and Markov switching models.
@@ Property / cites work: Finite mixture and Markov switching models. / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
+Normal rank
@@ Property / cites work @@
+Simulation and inference for stochastic volatility models driven by Levy processes
+Normal rank
@@ Property / cites work @@
+Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
+Normal rank
@@ Property / cites work @@
+Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
+Normal rank
@@ Property / cites work @@
+Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Q4280410
@@ Property / cites work: Q4280410 / rank @@
+Normal rank
@@ Property / cites work @@
+Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Multiple time scales in volatility and leverage correlations: a stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
+Normal rank
@@ Property / cites work @@
+Q2738738
@@ Property / cites work: Q2738738 / rank @@
+Normal rank