Comparison of MCMC methods for estimating stochastic volatility models

DOI10.1007/S10614-005-2974-4MaRDI QIDQ816059zbMATH OpenOpenAlexFDO

Authors Manabu Asai

Publication date 20 February 2006

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-005-2974-4

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• McMC estimation of multiscale stochastic volatility models with applications
• Comparing stochastic volatility models through Monte Carlo simulations
• Comparison of MCMC Methods for Estimating GARCH Models
• scientific article; zbMATH DE number 1329177
• Sequential Monte Carlo methods for stochastic volatility models: a review
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• scientific article; zbMATH DE number 1069624
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions
• Likelihood analysis of non-Gaussian measurement time series
• Markov chain Monte Carlo methods for stochastic volatility models.
• Markov chains for exploring posterior distributions. (With discussion)
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Partial non-Gaussian state space
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
• The simulation smoother for time series models
• The structure of dynamic correlations in multivariate stochastic volatility models

Cited in

(16)

• Riemann manifold Langevin methods on stochastic volatility estimation
• MCMC maximum likelihood for latent state models
• Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
• Comparison methods for stochastic models and risks
• The application of improved Markov chain Monte Carlo method in liquidity management of commercial banks
• Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
• Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• scientific article; zbMATH DE number 5121842 (Why is no real title available?)
• Parameterisation and efficient MCMC estimation of non-Gaussian state space models
• The structure of dynamic correlations in multivariate stochastic volatility models
• Comparing stochastic volatility specifications for large Bayesian VARs
• Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
• Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
• Comparison of MCMC Methods for Estimating GARCH Models

Describes a project that uses

Uses Software

• Ox

This page was built for publication: Comparison of MCMC methods for estimating stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q816059)