An effcient exact Bayesian method for state space models with stochastic volatility

DOI10.1515/SNDE-2018-0098MaRDI QIDQ2699606zbMATH OpenOpenAlexFDO

Authors Yu-Fan Huang

Publication date 19 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2018-0098

zbMATH Keywords

Bayesian MCMCstate spacestochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A simple and efficient simulation smoother for state space time series analysis
• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Dynamic linear models with Markov-switching
• Finite mixture and Markov switching models.
• Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
• Likelihood analysis of non-Gaussian measurement time series
• Markov chain Monte Carlo in conditionally Gaussian state space models
• Nonlinear State-Space Models With State-Dependent Variances
• On Gibbs sampling for state space models
• On the evolution of the monetary policy transmission mechanism
• Sparse Bayesian time-varying covariance estimation in many dimensions
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

Describes a project that uses

Uses Software

• bvarsv

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