Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
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Cites work
- A note on Metropolis-Hastings kernels for general state spaces
- Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Modeling volatility persistence of speculative returns: a new approach
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On Bayesian model and variable selection using MCMC
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The Distribution of Realized Exchange Rate Volatility
Cited in
(54)- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Exact simulation of IG-OU processes
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Computational advances for and from Bayesian analysis
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- Inference procedures for stable-Paretian stochastic volatility models
- The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
- Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Inference for a class of partially observed point process models
- A non-iterative (trivial) method for posterior inference in stochastic volatility models
- Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
- Stability of the Gibbs sampler for Bayesian hierarchical models
- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Portfolio optimization and a factor model in a stochastic volatility market
- Spatio-temporal modelling of a cox point process sampled by a curve, filtering and inference
- The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity
- A general framework for the parametrization of hierarchical models
- Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
- Particle Markov Chain Monte Carlo Methods
- Some recent developments in stochastic volatility modelling
- Stochastic volatility and stochastic leverage
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Markov chain Monte Carlo for exact inference for diffusions
- METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- Volatility prediction based on scheduled macroeconomic announcements
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Heteroskedastic time series with a unit root
- Parametric Estimation for Subordinators and Induced OU Processes
- A Note on Non-Negative Continuous Time Processes
- Bayesian Analysis of Single-Molecule Experimental Data
- Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
- Bayesian computation: a summary of the current state, and samples backwards and forwards
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Statistical inference for stochastic differential equations
- Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
- Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models
- The normal-generalised gamma-Pareto process: a novel pure-jump Lévy process with flexible tail and jump-activity properties
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
- Econometric analysis of jump-driven stochastic volatility models
- Bayesian diffusion process models with time-varying parameters
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Parametric estimation of discretely sampled Gamma-OU processes
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
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