Bayesian analysis of stochastic volatility models
From MaRDI portal
Recommendations
- Bayesian analysis of stochastic volatility models
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian analysis of stochastic volatility models with flexible tails
- scientific article; zbMATH DE number 2065158
- Stochastic volatility with leverage: fast and efficient likelihood inference
Cited in
(66)- Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
- On the applicability of stochastic volatility models
- Bayesian statistical computations of nonlinear financial time series models: a survey with illustrations
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
- A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
- A structure for general and specific market risk
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Statistics in finance
- Markov chain Monte Carlo methods for stochastic volatility models.
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Bayesian value-at-risk backtesting: the case of annuity pricing
- Bayesian estimation of the stochastic volatility model with double exponential jumps
- A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks
- A Bayesian semiparametric model for volatility with a leverage effect
- Inference for stochastic volatility models using time change transformations
- 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
- Multivariate stochastic volatility with Bayesian dynamic linear models
- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- On normal-Laplace stochastic volatility model
- BUGS for a Bayesian analysis of stochastic volatility models
- Generalized dynamic linear models for financial time series
- An application of three bivariate time-varying volatility models
- Realized stochastic volatility model. Bayesian analysis using Markov chain Monte Carlo
- Bayesian analysis of asymmetric multivariate stochastic volatility models with applications to TOPIX sector indices
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
- Bayesian analysis of stochastic volatility models
- Bayesian parameter inference for models of the Black and Scholes type
- Time series mean level and stochastic volatility modeling by smooth transition autoregressions: a Bayesian approach
- scientific article; zbMATH DE number 5769397 (Why is no real title available?)
- Bayesian analysis of a stochastic volatility model using Gibbs sampling
- The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models
- Bayesian analysis of stochastic volatility models with flexible tails
- scientific article; zbMATH DE number 1329177 (Why is no real title available?)
- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
- Stochastic volatility with leverage: fast and efficient likelihood inference
- The hierarchical-likelihood approach to autoregressive stochastic volatility models
- Stochastic volatility models (SVM) in the analysis of drought periods
- scientific article; zbMATH DE number 2170628 (Why is no real title available?)
- scientific article; zbMATH DE number 862327 (Why is no real title available?)
- scientific article; zbMATH DE number 1424399 (Why is no real title available?)
- On the relationship between uhlig extended and beta-Bartlett processes
- A stochastic volatility factor model of Heston type. Statistical properties and estimation
- Bayesian inference for Heston-STAR models
- Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
- scientific article; zbMATH DE number 5494145 (Why is no real title available?)
- Bayesian analysis of the factor model with finance applications
- Full Bayesian Analysis for a Class of Jump-Diffusion Models
- Bayesian modeling of financial returns: a relationship between volatility and trading volume
- Implicit estimation for the stochastic volatility model
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- scientific article; zbMATH DE number 5658695 (Why is no real title available?)
- Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
- Bayesian analysis of multivariate stochastic volatility with skew return distribution
- Bayesian analysis of structural credit risk models with microstructure noises
- Comparing stochastic volatility specifications for large Bayesian VARs
- Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
- Bayesian estimation of an extended local scale stochastic volatility model
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Comparing stochastic volatility models through Monte Carlo simulations
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
- Factor stochastic volatility with time varying loadings and Markov switching regimes
This page was built for publication: 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 Q3005011)
