Generalized dynamic linear models for financial time series
conditionally Gaussian modelsdynamic linear modelsGARCH modelsKalman filterstochastic regressorsstochastic volatility
Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Filtering in stochastic control theory (93E11)
A general class of conditionally Gaussian dynamic linear models is considered in this paper. It is discussed how they can provide a flexible tool for modelling financial time series. These models generalize the standard dynamic linear model in various directions. In particular, they allow for stochastic regressors, dependence of the state of previous observations, and stochastic covariance structure of the error terms. It is referred to the extended model as the generalized dynamic linear model. In this paper conditionally Gaussian state-space models are considered and some directions in which they can be extended for better modelling financial time series with stochastic volatility are shown. The basic point is that they provide a flexible and fairly simple class of models for financial data. Also, it is discussed how some popular models for financial time series with stochastic volatility, such as GARCH models, can be regarded in the framework of conditionally Gaussian state-space models. The model is illustrated by two examples with real data sets. The first is an exchange rate volatility series modelled by an autoregressive model with GARCH disturbances. The second is an exchange rate volatility series modelled by a seasonal model with stochastic regressors.
- Bayesian analysis of stochastic volatility models
- State-space stochastic volatility models: A review of estimation algorithms
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- Multivariate stochastic variance models
- Multivariate Stochastic Variance Models
- A Generalization of the Kalman Filter for Models With State-Dependent Observation Variance
- Bayesian forecasting and dynamic models.
- Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 5345388 (Why is no real title available?)
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- Kalman type filter for models with stochastic regressors and applications to econometric models
- Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
- Multivariate Stochastic Variance Models
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- Generalized EGARCH Random Effect Models Application to Financial Time Series
- The Student's \(t\)
- scientific article; zbMATH DE number 2010134 (Why is no real title available?)
- Assessing the effect of advertising expenditures upon sales: a Bayesian structural time series model
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
This page was built for publication: Generalized dynamic linear models for financial time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2722286)
