A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
From MaRDI portal
Publication:3087583
DOI10.1080/03610918.2011.563002zbMath1219.62162MaRDI QIDQ3087583
Yong Li, Jin-Guan Lin, Zhongxin Ni
Publication date: 16 August 2011
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2011.563002
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62F15: Bayesian inference
Related Items
Bayesian testing for jumps in stochastic volatility models with correlated jumps, Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis
Uses Software
Cites Work
- On leverage in a stochastic volatility model
- A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
- Comparing stochastic volatility models through Monte Carlo simulations
- Bayesian modelling strategies for spatially varying regression coefficients: a multivariate perspective for multiple outcomes
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Estimation of stochastic volatility models with diagnostics
- Markov chain Monte Carlo methods for stochastic volatility models.
- Monte Carlo methods in Bayesian computation
- A Monte Carlo method for an objective Bayesian procedure
- BUGS for a Bayesian analysis of stochastic volatility models
- Marginal Likelihood from the Gibbs Output
- Practical Markov Chain Monte Carlo
- The Calculation of Posterior Distributions by Data Augmentation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Multivariate Stochastic Variance Models
- Likelihood analysis of non-Gaussian measurement time series
- Computing Bayes Factors by Combining Simulation and Asymptotic Approximations
- Bayesian Measures of Model Complexity and Fit
- Marginal Likelihood From the Metropolis–Hastings Output
- Bayes Factors
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Structural Equation Modeling
- Simulating normalizing constants: From importance sampling to bridge sampling to path sampling