Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
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Abstract: The sampling efficiency of MCMC methods in Bayesian inference for stochastic volatility (SV) models is known to highly depend on the actual parameter values, and the effectiveness of samplers based on different parameterizations varies significantly. We derive novel algorithms for the centered and the non-centered parameterizations of the practically highly relevant SV model with leverage, where the return process and innovations of the volatility process are allowed to correlate. Moreover, based on the idea of ancillarity-sufficiency interweaving (ASIS), we combine the resulting samplers in order to guarantee stable sampling efficiency irrespective of the baseline parameterization.We carry out an extensive comparison to already existing sampling methods for this model using simulated as well as real world data.
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Cited in
(8)- On leverage in a stochastic volatility model
- Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
- Review of statistical approaches for modeling high-frequency trading data
- Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus
- MCMC interweaving strategy for estimating stochastic volatility model and its application
- Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Fast inference for time-varying quantiles via flexible dynamic models with application to the characterization of atmospheric rivers
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