Comparing stochastic volatility models through Monte Carlo simulations
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Cites work
- scientific article; zbMATH DE number 1598665 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Adaptive Rejection Metropolis Sampling within Gibbs Sampling
- Alternative models for stock price dynamics.
- Bayesian Measures of Model Complexity and Fit
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
- Filtering via Simulation: Auxiliary Particle Filters
- Implementing componentwise Hastings algorithms
- Inference from iterative simulation using multiple sequences
- Marginal Likelihood From the Metropolis–Hastings Output
- Markov chain Monte Carlo methods for stochastic volatility models.
- Optimum Monte-Carlo sampling using Markov chains
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(15)- Measuring systematic risk with neural network factor model
- Modeling volatility using state space models with heavy tailed distributions
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- Comparison of MCMC methods for estimating stochastic volatility models
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market
- Bayesian estimation of the Gaussian mixture GARCH model
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Study of 'value' modelling efficiency in the Monte Carlo method
- Conditional VAR and expected shortfall: a new functional approach
- Particle filters and Bayesian inference in financial econometrics
- Implied volatility in oil markets
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
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