BUGS for a Bayesian analysis of stochastic volatility models
From MaRDI portal
Recommendations
- Bayesian analysis of stochastic volatility models
- Bayesian analysis of stochastic volatility models
- Bayesian analysis of a stochastic volatility model using Gibbs sampling
- Bayesian analysis of stochastic volatility models with flexible tails
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Cited in
(56)- Model for dynamic multiple of CPPI strategy
- Simulation-based estimation methods for financial time series models
- Bayesian analysis of the stochastic conditional duration model
- MCMC Bayesian estimation in FIEGARCH models
- Comparison study to bandwidth selection in binomial kernel estimation using Bayesian approaches
- Generalized EGARCH Random Effect Models Application to Financial Time Series
- A Bayesian approach for determining the optimal semi-metric and bandwidth in scalar-on-function quantile regression with unknown error density and dependent functional data
- Time series of count data: a review, empirical comparisons and data analysis
- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- Stochastic volatility models (SVM) in the analysis of drought periods
- Comparison of asymmetric stochastic volatility models under different correlation structures
- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
- Stochastic filtering methods in electronic trading
- Bayesian bandwidth estimation and semi-metric selection for a functional partial linear model with unknown error density
- VIX forecast under different volatility specifications
- Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
- Multivariate Stochastic Volatility: A Review
- Parameter estimation and applications for stochastic volatility model with time-varying leverage effect
- Bayesian analysis of structural credit risk models with microstructure noises
- A threshold stochastic volatility model with explanatory variables
- Modelling stochastic volatility using generalized \(t\) distribution
- Modeling financial time series based on a market microstructure model with leverage effect
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
- Multivariate Stochastic Volatility Models with Correlated Errors
- Estimation of a functional single index model with dependent errors and unknown error density
- The hierarchical-likelihood approach to autoregressive stochastic volatility models
- Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Stochastic modelling of volatility and inter-relationships in the Australian electricity markets
- Individualism in plant populations: using stochastic differential equations to model individual neighbourhood-dependent plant growth
- A Stochastic Volatility Model With a General Leverage Specification
- Bayesian bandwidth estimation for a semi-functional partial linear regression model with unknown error density
- A semiparametric stochastic volatility model
- An efficient stochastic simulation algorithm for Bayesian unit root testing in stochastic volatility models
- Data cloning estimation for asymmetric stochastic volatility models
- The leverage effect puzzle: the case of European sovereign credit default swap market
- Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- On leverage in a stochastic volatility model
- Bayesian approach in nonparametric count regression with binomial kernel
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
- A flexible and automated likelihood based framework for inference in stochastic volatility models
- Bayesian dynamic probit models for the analysis of longitudinal data
- Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS
- Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
- Deviance information criterion for latent variable models and misspecified models
- Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
- Bayesian testing for jumps in stochastic volatility models with correlated jumps
- Variable dimension via stochastic volatility model using FX rates
- On the volatility of high frequency stock index based on SV model of MCMC
- A Bayesian approach for nonparametric regression in the presence of correlated errors
- Adaptive rejection Metropolis sampling using Lagrange interpolation polynomials of degree 2
- Investigating the impact of consumption distribution on CRRA estimation: quantile-CCAPM-based approach
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
This page was built for publication: BUGS for a Bayesian analysis of stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2707871)