Long memory stochastic volatility : A bayesian approach
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 5769397
- Bayesian estimation and the application of long memory stochastic volatility models
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- Markov chain Monte Carlo methods for Bayesian long memory stochastic volatility models
- The detection and estimation of long memory in stochastic volatility
Cites work
- Adaptive Rejection Sampling for Gibbs Sampling
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Markov chains for exploring posterior distributions. (With discussion)
- Multivariate Stochastic Variance Models
- Partial non-Gaussian state space
- State space modeling of long-memory processes
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- The detection and estimation of long memory in stochastic volatility
Cited in
(16)- Nonlinear time series with long memory: A model for stochastic volatility
- The detection and estimation of long memory in stochastic volatility
- Realized stochastic volatility with leverage and long memory
- Inference on the long-memory properties of time series with non-stationary volatility
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Markov chain Monte Carlo methods for Bayesian long memory stochastic volatility models
- scientific article; zbMATH DE number 5769397 (Why is no real title available?)
- LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH
- On the long-run volatility of stocks
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”
- Bayesian estimation of long memory models and its application to exchange rates
- The memory of stochastic volatility models
- Estimation and forecasting of long memory stochastic volatility models
- Bayesian inference for long memory term structure models
- Bayesian estimation and the application of long memory stochastic volatility models
This page was built for publication: Long memory stochastic volatility : A bayesian approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4550616)
