Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA

DOI10.1080/03610918.2013.790444MaRDI QIDQ5252859zbMATH OpenOpenAlexFDO

Authors Ricardo S. Ehlers, Mauricio Zevallos

Publication date 3 June 2015

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2013.790444

zbMATH Keywords

Bayesian methodsINLAquasi-maximum likelihoodstochastic volatility models

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Multivariate Stochastic Variance Models
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Stochastic Volatility: Origins and Overview

Cited in

(5)

• Predictive Inference for Integrated Volatility
• Forecasting the term structure of interest rates using integrated nested Laplace approximations
• Enhancing the SPDE modeling of spatial point processes with INLA, applied to wildfires. Choosing the best mesh for each database
• SV model estimation based on Bayesian computation with empirical likelihood
• A multivariate stochastic volatility model with generalized factor dynamics

Describes a project that uses

Uses Software

• R

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