Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter

DOI10.1111/1368-423X.t01-1-00116zbMath1065.91533MaRDI QIDQ4458366

Andreas Berg, David A. Fournier, Renate Meyer

Publication date: 17 March 2004

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

heavy tailed distributionsMarkov chain Monte Carlo (MCMC) techniquesnon-Gaussian nonlinear state-space models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (10)

AD Model Builder: using automatic differentiation for statistical inference of highly parameterized complex nonlinear models ⋮ A flexible and automated likelihood based framework for inference in stochastic volatility models ⋮ The hierarchical-likelihood approach to autoregressive stochastic volatility models ⋮ A Bayesian analysis of the Bingham distribution ⋮ Multivariate stochastic volatility with Bayesian dynamic linear models ⋮ Unnamed Item ⋮ Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison ⋮ Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models ⋮ Simulation-Based Estimation Methods for Financial Time Series Models ⋮ Comparison of MCMC methods for estimating stochastic volatility models

Uses Software

• BUGS
• Fahrmeir

Cites Work

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• Multivariate Stochastic Variance Models
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• Filtering via Simulation: Auxiliary Particle Filters
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• Monte Carlo sampling methods using Markov chains and their applications
• Contemporary Bayesian Econometrics and Statistics

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