Bayesian estimation of dynamic asset pricing models with informative observations

DOI10.1016/J.JECONOM.2018.11.014MaRDI QIDQ1740278zbMATH OpenOpenAlexWikidataFDO

Authors Andras Fulop, Junye Li

Publication date 30 April 2019

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2018.11.014

zbMATH Keywords

common random numbersauxiliary particle filterself-exciting jumpsnon-affinenessoptimal proposal densitysequential Monte Carlo sampler

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• An adaptive sequential Monte Carlo method for approximate Bayesian computation
• Do price and volatility jump together?
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Filtering via Simulation: Auxiliary Particle Filters
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• Particle Markov Chain Monte Carlo Methods
• Particle filters for continuous likelihood evaluation and maximisation
• Resolution of policy uncertainty and sudden declines in volatility
• Sequential Monte Carlo Samplers
• Sequential quasi Monte Carlo. With discussion and authors' reply
• The correlated pseudomarginal method
• The dynamics of stochastic volatility: evidence from underlying and options markets
• The pseudo-marginal approach for efficient Monte Carlo computations
• Volatility jumps
• \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models

Cited in

(11)

• Variance swaps with mean reversion and multi-factor variance
• Modeling short‐term post‐offering price–volume relationships using Bayesian change‐point panel quantile regression
• Exact simulation of the Hull and White stochastic volatility model
• scientific article; zbMATH DE number 1836445 (Why is no real title available?)
• Identifying and estimating efficient markets models with contemporaneous instruments
• Hawkes processes in energy markets: modelling, estimation and derivatives pricing
• Bayes estimation via filtering for a simple micro-movement model of asset price with discrete noises
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• Scalable inference for a full multivariate stochastic volatility model
• RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters

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