Bayesian analysis of a stochastic volatility model using Gibbs sampling

MaRDI QIDQ3644458zbMATH OpenFDO

Authors Huiming Zhu, Sufang Li, Huifang Zeng, Jing Lin, Keming Yu

Publication date 11 November 2009

zbMATH Keywords

simulationstime series analysis

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Bayesian analysis of stochastic volatility models
• Bayesian analysis of stochastic volatility models
• Bayesian analysis of stochastic volatility models with flexible tails
• Bayesian semiparametric stochastic volatility modeling
• scientific article; zbMATH DE number 5209814

Cited in

(9)

• A survey of sampling-based Bayesian analysis of financial data
• Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
• Riemann manifold Langevin methods on stochastic volatility estimation
• scientific article; zbMATH DE number 2170628 (Why is no real title available?)
• Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
• BUGS for a Bayesian analysis of stochastic volatility models
• Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market
• Stochastic tail index model for high frequency financial data with Bayesian analysis
• Bayesian modeling of financial returns: a relationship between volatility and trading volume

This page was built for publication: Bayesian analysis of a stochastic volatility model using Gibbs sampling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3644458)