Semiparametric stochastic volatility modelling using penalized splines (Q2354745)

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Language	Label	Description	Also known as
English	Semiparametric stochastic volatility modelling using penalized splines	scientific article

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scholarly article

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Semiparametric stochastic volatility modelling using penalized splines (English)

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Roland Langrock

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Computational Statistics

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publication date

24 July 2015

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full work available at URL

https://arxiv.org/abs/1308.5836

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http://eprints.whiterose.ac.uk/94382/1/1308.5836v3.pdf

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zbMATH Keywords

B-splines

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cross-validation

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forward algorithm

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hidden Markov model

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numerical integration

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penalized likelihood

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

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A survey of cross-validation procedures for model selection

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Maximum likelihood estimation of a latent variable time-series model

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Likelihood-based inference for asymmetric stochastic volatility models

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Markov chain Monte Carlo methods for stochastic volatility models.

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Empirical properties of asset returns: stylized facts and statistical issues

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A practical guide to splines

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Bayesian nonparametric modelling of the return distribution with stochastic volatility

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A Bayesian semiparametric model for volatility with a leverage effect

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Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models

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Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors

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On Bayesian Modeling of Fat Tails and Skewness

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Estimation of stochastic volatility models with diagnostics

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Strictly Proper Scoring Rules, Prediction, and Estimation

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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements

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Bayesian semiparametric stochastic volatility modeling

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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Some applications of nonlinear and non-Gaussian state–space modelling by means of hidden Markov models

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Maximum likelihood estimation of mark-recapture-recovery models in the presence of continuous covariates

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Nonparametric inference in hidden Markov models using P‐splines

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Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution

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Consistent cross-validatory model-selection for dependent data: hv-block cross-validation

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Remarks on a Multivariate Transformation

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Semiparametric Regression

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Density estimation and comparison with a penalized mixture approach

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Hidden Markov Models for Time Series

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Identifiers

zbMATH Open document ID

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10.1007/s00180-014-0547-5

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Mathematics Subject Classification ID

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zbMATH DE Number

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