Multivariate stochastic volatility estimation using particle filters

DOI10.1007/978-1-4939-0569-0_30MaRDI QIDQ2787388zbMATH OpenOpenAlexFDO

Authors Kostas Triantafyllopoulos

Publication date 25 February 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-0569-0_30

zbMATH Keywords

multivariate volatilityparticle filtersskew-\(t\) distributionWishart process

Mathematics Subject Classification ID

Sequential estimation (62L12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• Analysis of high dimensional multivariate stochastic volatility models
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Dynamic Linear Models with R
• Factor Multivariate Stochastic Volatility via Wishart Processes
• Multi-variate stochastic volatility modelling using Wishart autoregressive processes
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Multivariate Stochastic Volatility: A Review
• Practical Filtering with Sequential Parameter Learning
• Sequential Monte Carlo Methods in Practice
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The Wishart autoregressive process of multivariate stochastic volatility

Cited in

(5)

• A t-distribution based particle filter for univariate and multivariate stochastic volatility models
• Fitting Stochastic Volatility Models in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering
• Estimation of stochastic volatility models via auxiliary particles filter
• Particle filtering of volatility dynamics for KOSPI200 and its sequential prediction

Describes a project that uses

Uses Software

• dlm

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