Bayesian estimation and the application of long memory stochastic volatility models

DOI10.1016/J.STAMET.2006.01.001MaRDI QIDQ713736zbMATH OpenOpenAlexFDO

Authors Lixia Xu, Cihua Liu, Gaoqin Nie

Publication date 19 October 2012

Published in Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.stamet.2006.01.001

zbMATH Keywords

ARFIMAspectral periodogram

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Long memory stochastic volatility : A bayesian approach
• The detection and estimation of long memory in stochastic volatility
• Bayesian estimation of long memory models and its application to exchange rates
• Stochastic Volatility Models with Long Memory
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models

Cites work

• A limit theory for long-range dependence and statistical inference on related models
• Long memory processes and fractional integration in econometrics
• ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The detection and estimation of long memory in stochastic volatility
• Time series: theory and methods

Cited in

(10)

• Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models
• A Bayesian approach to estimating the long memory parameter
• scientific article; zbMATH DE number 5769397 (Why is no real title available?)
• Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
• Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
• Long memory stochastic volatility : A bayesian approach
• Estimation and forecasting of long memory stochastic volatility models
• Bayesian estimation of long memory models and its application to exchange rates
• Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models

This page was built for publication: Bayesian estimation and the application of long memory stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q713736)