Pages that link to "Item:Q1867723"
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The following pages link to Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723):
Displayed 50 items.
- Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
- The role of additional information in option pricing: estimation issues for the state space model (Q604920) (← links)
- A MIDAS approach to modeling first and second moment dynamics (Q726588) (← links)
- Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach (Q734405) (← links)
- Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles (Q736574) (← links)
- Bayesian estimation of an extended local scale stochastic volatility model (Q737916) (← links)
- Bayesian hypothesis testing in latent variable models (Q738117) (← links)
- Comparison of MCMC methods for estimating stochastic volatility models (Q816059) (← links)
- High dimensional dynamic stochastic copula models (Q888326) (← links)
- A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
- Adaptive priors based on splines with random knots (Q899059) (← links)
- Hellinger distance and non-informative priors (Q899064) (← links)
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (Q899508) (← links)
- Comparing stochastic volatility models through Monte Carlo simulations (Q959262) (← links)
- Iterated importance sampling in missing data problems (Q959418) (← links)
- Improving MCMC, using efficient importance sampling (Q961112) (← links)
- Indirect estimation of \(\alpha \)-stable stochastic volatility models (Q961424) (← links)
- Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Auxiliary mixture sampling with applications to logistic models (Q1019983) (← links)
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling (Q1023812) (← links)
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions (Q1025340) (← links)
- Testing for jumps in the stochastic volatility models (Q1025341) (← links)
- Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258) (← links)
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox (Q1695672) (← links)
- Estimation and asymptotic covariance matrix for stochastic volatility models (Q1697869) (← links)
- Endogenous bank risk and efficiency (Q1753448) (← links)
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods (Q1757658) (← links)
- On asymmetric generalised t stochastic volatility models (Q1761658) (← links)
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime (Q1766135) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
- Bayesian inference in a stochastic volatility Nelson-Siegel model (Q1927156) (← links)
- Linear filtering for asymmetric stochastic volatility models (Q1929412) (← links)
- Numerical solutions comparison for interval linear programming problems based on coverage and validity rates (Q1991446) (← links)
- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility (Q2066041) (← links)
- Approximate bounding of mixing time for multiple-step Gibbs samplers (Q2171928) (← links)
- Stochastic dominance tests (Q2177995) (← links)
- Dynamic tail inference with log-Laplace volatility (Q2191426) (← links)
- Geometric ergodicity of a Metropolis-Hastings algorithm for Bayesian inference of phylogenetic branch lengths (Q2228245) (← links)
- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets (Q2228675) (← links)
- Modeling volatility using state space models with heavy tailed distributions (Q2228729) (← links)
- McMC estimation of multiscale stochastic volatility models with applications (Q2229879) (← links)
- A fast and efficient Markov chain Monte Carlo method for market microstructure model (Q2244387) (← links)
- A Monte Carlo integration approach to estimating drift and minorization coefficients for Metropolis-Hastings samplers (Q2244839) (← links)
- Modeling financial time series based on a market microstructure model with leverage effect (Q2314707) (← links)
- Model for dynamic multiple of CPPI strategy (Q2320718) (← links)
- Semiparametric stochastic volatility modelling using penalized splines (Q2354745) (← links)
- A non-iterative (trivial) method for posterior inference in stochastic volatility models (Q2405924) (← links)