A Bayesian semiparametric model for volatility with a leverage effect

DOI10.1016/J.CSDA.2012.10.023MaRDI QIDQ2361227zbMATH OpenOpenAlexFDO

Authors E.-I. Delatola, J. E. Griffin

Publication date 30 June 2017

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2012.10.023

zbMATH Keywords

asset returncentred representationDirichlet processmixture modeloff-set mixture representationstock index

Mathematics Subject Classification ID

Random measures (60G57) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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Cites work

• A Bayesian analysis of some nonparametric problems
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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• Bayesian nonparametric modelling of the return distribution with stochastic volatility
• Bayesian semiparametric stochastic volatility modeling
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Default priors for density estimation with mixture models
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• scientific article; zbMATH DE number 3888710 (Why is no real title available?)
• Leverage, heavy-tails and correlated jumps in stochastic volatility models
• Likelihood-based scoring rules for comparing density forecasts in tails
• On a class of Bayesian nonparametric estimates: I. Density estimates
• On adaptive Markov chain Monte Carlo algorithms
• On Gibbs sampling for state space models
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The diffuse Kalman filter

Cited in

(18)

• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
• Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
• Bayesian semiparametric double autoregressive modeling
• Modeling financial time series based on a market microstructure model with leverage effect
• Semiparametric stochastic volatility modelling using penalized splines
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• On normal-Laplace stochastic volatility model
• Semiparametric Bayesian modeling of income volatility heterogeneity
• Research on semiparametric threshold generalized asymmetric stochastic volatility model
• Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
• Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models
• Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors
• Particle learning for Bayesian semi-parametric stochastic volatility model
• Bayesian semiparametric multivariate stochastic volatility with application
• Bayesian semiparametric modeling of realized covariance matrices
• Bayesian semiparametric Markov switching stochastic volatility model
• Bayesian nonparametric modelling of stochastic volatility
• Bayesian semiparametric stochastic volatility modeling

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