Bayesian analysis of stochastic volatility models with flexible tails

DOI10.1080/07474939808800408MaRDI QIDQ3842859zbMATH OpenOpenAlexFDO

Authors M. F. J. Steel

Publication date 20 August 1998

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939808800408

zbMATH Keywords

financial time seriesleptokurtic distributionsMarkov chain Monte Carloskewed exponential power distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• Bayesian Vector Autoregressions with Stochastic Volatility
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Continuous Record Asymptotics for Rolling Sample Variance Estimators
• scientific article; zbMATH DE number 941484 (Why is no real title available?)
• Local scale models. State space alternative to integraded GARCH processes
• Markov chains for exploring posterior distributions. (With discussion)
• Modeling and Inference with v-Spherical Distributions
• Multivariate Stochastic Variance Models
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• On Gibbs sampling for state space models
• Partial non-Gaussian state space
• Quasi-maximum likelihood estimation of stochastic volatility models
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• The Calculation of Posterior Distributions by Data Augmentation

Cited in

(16)

• Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
• Stochastic tail index model for high frequency financial data with Bayesian analysis
• Dynamic tail inference with log-Laplace volatility
• BUGS for a Bayesian analysis of stochastic volatility models
• Bayesian analysis of stochastic volatility models
• Bayesian analysis of stochastic volatility models
• Bayesian analysis of a stochastic volatility model using Gibbs sampling
• Variable dimension via stochastic volatility model using FX rates
• Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
• Particle learning for fat-tailed distributions
• Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models
• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
• Bayesian semiparametric stochastic volatility modeling
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection

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