Inference for stochastic volatility models using time change transformations

DOI10.1214/09-AOS702zbMath1189.91220arXiv0711.1594MaRDI QIDQ2380088

Petros Dellaportas, Gareth O. Roberts, Konstantinos Kalogeropoulos

Publication date: 24 March 2010

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.1594

zbMATH Keywords

Markov chain Monte Carlodiffusion processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items

Online Smoothing for Diffusion Processes Observed with Noise ⋮ The computational cost of blocking for sampling discretely observed diffusions ⋮ Improved bridge constructs for stochastic differential equations ⋮ A Multiresolution Method for Parameter Estimation of Diffusion Processes ⋮ Bayesian inference for Heston-STAR models ⋮ Likelihood-based inference for correlated diffusions ⋮ Markov Chain Monte Carlo for Exact Inference for Diffusions ⋮ Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods ⋮ Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes

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