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.
- Periodic autoregressive stochastic volatility (Q2412761) (← links)
- Moving average stochastic volatility models with application to inflation forecast (Q2442456) (← links)
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions (Q2445744) (← links)
- Analysis of non-stationary dynamics in the financial system (Q2453048) (← links)
- Multivariate stochastic volatility with Bayesian dynamic linear models (Q2474386) (← links)
- Asymptotic properties of particle filter-based maximum likelihood estimators for state space models (Q2476295) (← links)
- The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach (Q2507934) (← links)
- Marginal likelihood for Markov-switching and change-point GARCH models (Q2512618) (← links)
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture (Q2512619) (← links)
- A computational procedure for estimation of the mixing time of the random-scan Metropolis algorithm (Q2628881) (← links)
- Long memory and regime switching in the stochastic volatility modelling (Q2678633) (← links)
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks (Q2687889) (← links)
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← links)
- A BAYESIAN SIMULATION APPROACH TO INFERENCE ON A MULTI-STATE LATENT FACTOR INTENSITY MODEL (Q2892458) (← links)
- Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations (Q2920273) (← links)
- MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (Q3008483) (← links)
- Particle filters and Bayesian inference in financial econometrics (Q3018542) (← links)
- Forecasting volatility with support vector machine-based GARCH model (Q3065523) (← links)
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models (Q3087583) (← links)
- Simulation-Based Estimation Methods for Financial Time Series Models (Q3112468) (← links)
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques* (Q3156190) (← links)
- Empirical Characteristic Function Estimation and Its Applications (Q3157837) (← links)
- Multivariate stochastic volatility, leverage and news impact surfaces (Q3161679) (← links)
- Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm (Q3552853) (← links)
- Bayesian Inference Based on Stationary Fokker-Planck Sampling (Q3568379) (← links)
- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter (Q4458366) (← links)
- Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions (Q4554510) (← links)
- Forecasting trends with asset prices (Q4555084) (← links)
- On the Long-Run Volatility of Stocks (Q4559692) (← links)
- Value at risk estimation under stochastic volatility models using adaptive PMCMC methods (Q4607381) (← links)
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models (Q4627135) (← links)
- A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA (Q4658676) (← links)
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models (Q4677047) (← links)
- A Semiparametric Change-Point Regression Model for Longitudinal Observations (Q4904738) (← links)
- Modelling stochastic volatility using generalized<i>t</i>distribution (Q4922633) (← links)
- On periodic autoregressive stochastic volatility models: structure and estimation (Q4960634) (← links)
- Stochastic volatility models for ordinal-valued time series with application to finance (Q4970906) (← links)
- Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions (Q5027559) (← links)
- Approximate verification of geometric ergodicity for multiple-step Metropolis transition kernels (Q5074247) (← links)
- A Survey of Sequential Monte Carlo Methods for Economics and Finance (Q5080148) (← links)
- DSGE Models with Student-<i>t</i>Errors (Q5080441) (← links)
- Some applications of nonlinear and non-Gaussian state–space modelling by means of hidden Markov models (Q5124974) (← links)
- NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (Q5187622) (← links)
- Bayesian testing for jumps in stochastic volatility models with correlated jumps (Q5247227) (← links)
- Intraday Data vs Daily Data to Forecast Volatility in Financial Markets (Q5280128) (← links)
- Bayesian modeling of financial returns: A relationship between volatility and trading volume (Q5391301) (← links)
- Implicit Estimation for the Stochastic Volatility Model (Q5419350) (← links)
- Linear‐representation Based Estimation of Stochastic Volatility Models (Q5430621) (← links)
- Multivariate Stochastic Volatility Models with Correlated Errors (Q5485105) (← links)
- Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model (Q5485114) (← links)