Modelling stochastic volatility using generalized t distribution
From MaRDI portal
Modelling stochastic volatility using generalized \(t\) distribution
generalized distributionMarkov chain Monte Carlooutlier diagnosticsstochastic volatilityuniform scale mixture
Characterization and structure theory of statistical distributions (62E10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Economic time series analysis (91B84)
Recommendations
- On asymmetric generalised t stochastic volatility models
- Bayesian student-t stochastic volatility models via scale mixtures
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- A t-distribution based particle filter for univariate and multivariate stochastic volatility models
Cites work
- Alternative beta estimation for the market model using partially adaptive techniques
- An empirical evaluation of fat-tailed distributions in modeling financial time series
- Bayesian Measures of Model Complexity and Fit
- BUGS for a Bayesian analysis of stochastic volatility models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Generalized autoregressive conditional heteroscedasticity
- Hierarchical models with scale mixtures of normal distributions
- Markov chain Monte Carlo methods for stochastic volatility models.
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
- Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution
- SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
- The Price Variability-Volume Relationship on Speculative Markets
Cited in
(14)- A generalised stochastic volatility in mean VAR
- Fast computation of the deviance information criterion for latent variable models
- On asymmetric generalised t stochastic volatility models
- A new filtering inference procedure for a GED state-space volatility model
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- The Student's \(t\)
- The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
- Specification tests for time-varying parameter models with stochastic volatility
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- Renyi Entropy based design of heavy tailed distribution for return of financial assets
- Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
- Exponential stochastic volatility model with Laplace returns and its variants
- Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
This page was built for publication: Modelling stochastic volatility using generalized \(t\) distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4922633)
