scientific article

zbMath1082.62103MaRDI QIDQ3374314

Peter E. Rossi, Eric Jacquier, Nicholas G. Polson

Publication date: 9 March 2006

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

nonlinear filteringquasi-maximum likelihoodmethod of momentsMarkov-chain Monte Carlo

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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Bayes inference in regression models with ARMA\((p,q)\) errors ⋮ Stochastic volatility in asset prices. Estimation with simulated maximum likelihood ⋮ Approximating cross-validatory predictive evaluation in Bayesian latent variable models with integrated IS and WAIC ⋮ Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model ⋮ Periodic autoregressive stochastic volatility ⋮ Estimation and asymptotic covariance matrix for stochastic volatility models ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Filtering a nonlinear stochastic volatility model ⋮ Nonparametric estimation of volatility and its parametric analogs ⋮ Estimation of time-varying autoregressive stochastic volatility models with stable innovations ⋮ Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods

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