Bayesian nonparametric modelling of stochastic volatility (Q6937523)

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Bayesian nonparametric modelling of stochastic volatility

scientific article; zbMATH DE number 8085644

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English	Bayesian nonparametric modelling of stochastic volatility	scientific article; zbMATH DE number 8085644

Statements

instance of

scholarly article

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title

Bayesian nonparametric modelling of stochastic volatility (English)

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26 August 2025

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copyright license

Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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MaRDI profile type

MaRDI publication profile

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cites work

Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

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Out of sample forecasts of quadratic variation

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The Distribution of Realized Exchange Rate Volatility

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Modeling and Forecasting Realized Volatility

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Clustering consistency with Dirichlet process mixtures

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Theory and inference for a Markov switching GARCH model

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Generalized autoregressive conditional heteroscedasticity

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Simulation-based sequential analysis of Markov switching stochastic volatility models

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Markov chain Monte Carlo methods for stochastic volatility models.

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Bayesian nonparametric modelling of the return distribution with stochastic volatility

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A Bayesian semiparametric model for volatility with a leverage effect

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Likelihood-based scoring rules for comparing density forecasts in tails

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Bayesian Density Estimation and Inference Using Mixtures

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A Bayesian analysis of some nonparametric problems

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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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Bayesian semiparametric stochastic volatility modeling

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Bayesian semiparametric multivariate GARCH modeling

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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

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Bayesian semiparametric modeling of realized covariance matrices

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Slice sampling mixture models

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Bayes Factors

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution

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Q4839399

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Estimating stochastic volatility models using daily returns and realized volatility simultaneously

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Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

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Bayesian semiparametric Markov switching stochastic volatility model

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Sampling the Dirichlet Mixture Model with Slices

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Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations

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A Tale of Two Time Scales

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Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry

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Identifiers

DOI

10.1080/14697688.2025.2509561

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Bayesian nonparametric modelling of stochastic volatility