Nonlinear State-Space Models With State-Dependent Variances

DOI10.1198/016214503000161zbMath1041.62077OpenAlexW1999251654MaRDI QIDQ4468454

Jonathan R. Stroud, Peter Mueller, Nicholas G. Polson

Publication date: 10 June 2004

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214503000161

zbMATH Keywords

smoothingstochastic volatilityMarkov chain Monte Carlomixture modelaffine term structure modelnonlinear state-space modelstate-dependent variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

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Sequential Monte Carlo smoothing with parameter estimation ⋮ An effcient exact Bayesian method for state space models with stochastic volatility ⋮ Stochastic volatility with leverage: fast and efficient likelihood inference ⋮ Simulation smoothing for state-space models: a computational efficiency analysis ⋮ Practical Filtering with Sequential Parameter Learning ⋮ The HESSIAN method: highly efficient simulation smoothing, in a nutshell ⋮ Probabilistic forecasts of volatility and its risk premia ⋮ Integrated variance forecasting: model based vs. reduced form ⋮ Bayesian estimation of an extended local scale stochastic volatility model ⋮ Block sampler and posterior mode estimation for asymmetric stochastic volatility models

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