Comparison of asymmetric stochastic volatility models under different correlation structures

DOI10.1080/02664763.2016.1204596MaRDI QIDQ5138623zbMATH OpenOpenAlexFDO

Authors Zhongxian Men, Donald L. McLeish, Tony S. Wirjanto, Adam W. Kolkiewicz

Publication date 4 December 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2016.1204596

zbMATH Keywords

Bayesian inferenceleverage effectlog transformationstochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Analysis of high dimensional multivariate stochastic volatility models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian Measures of Model Complexity and Fit
• BUGS for a Bayesian analysis of stochastic volatility models
• Filtering via Simulation: Auxiliary Particle Filters
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1522717 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Likelihood analysis of non-Gaussian measurement time series
• Multivariate Stochastic Variance Models
• Multivariate Stochastic Volatility
• Multivariate Stochastic Volatility: A Review
• On leverage in a stochastic volatility model
• Slice sampling. (With discussions and rejoinder)
• Stochastic volatility with leverage: fast and efficient likelihood inference

Cited in

(6)

• On asymmetric generalised t stochastic volatility models
• Asymmetry in stochastic volatility models: threshold or correlation?
• On generalised asymmetric stochastic volatility models
• scientific article; zbMATH DE number 5209814 (Why is no real title available?)
• Dynamic Asymmetric Leverage in Stochastic Volatility Models
• Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry

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