Analysis of high dimensional multivariate stochastic volatility models
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Markov chain Monte CarloBayesian inferenceforecastingsimulationstate space modelmarginal likelihoodMetropolis-Hastings algorithmparticle filtervolatilityStudent-\(t\) distributionvalue-at-riskrisk measurementstochastic jumpstime-varying correlations
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
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- Intraday data vs daily data to forecast volatility in financial markets
- Comparing stochastic volatility specifications for large Bayesian VARs
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