Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation

DOI10.1081/SAC-200055729MaRDI QIDQ5460717zbMATH OpenOpenAlexFDO

Authors Junji Shimada, Yoshihiko Tsukuda

Publication date 18 July 2005

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sac-200055729

zbMATH Keywords

Laplace approximationnonlinear state space representationstochastic volatility

Mathematics Subject Classification ID

General considerations in statistical decision theory (62C05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• scientific article; zbMATH DE number 2065158
• A flexible and automated likelihood based framework for inference in stochastic volatility models
• An efficient method for maximum likelihood estimation of a stochastic volatility model
• Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Empirical modeling of exchange rate dynamics
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Generalized autoregressive conditional heteroscedasticity
• Likelihood analysis of non-Gaussian measurement time series
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Multivariate Stochastic Variance Models
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The Price Variability-Volume Relationship on Speculative Markets
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

Cited in

(6)

• A flexible and automated likelihood based framework for inference in stochastic volatility models
• Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
• On normal-Laplace stochastic volatility model
• The hierarchical-likelihood approach to autoregressive stochastic volatility models
• Linear‐representation Based Estimation of Stochastic Volatility Models
• Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation

This page was built for publication: Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5460717)