Simulation-based sequential analysis of Markov switching stochastic volatility models
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Cites work
- scientific article; zbMATH DE number 1666093 (Why is no real title available?)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Bayesian forecasting and dynamic models.
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Dynamic Generalized Linear Models and Bayesian Forecasting
- Filtering via Simulation: Auxiliary Particle Filters
- On Gibbs sampling for state space models
- Partial non-Gaussian state space
- Sampling-Based Approaches to Calculating Marginal Densities
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Cited in
(29)- Real time detection of structural breaks in GARCH models
- Volatility spillovers, interdependence and comovements: a Markov switching approach
- Particle learning and smoothing
- Sequential estimation for the multiple linear regression models with balanced loss functions
- Bayesian semiparametric Markov switching stochastic volatility model
- Dynamic changepoint detection in count time series: a particle filter approach
- Time-varying extreme pattern with dynamic models
- Some variants of adaptive sampling procedures and their applications
- Long memory and regime switching in the stochastic volatility modelling
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Variable Selection in Switching Dynamic Regression Models
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
- Optimisation of interacting particle systems for rare event estimation
- Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
- Joint parameter and state estimation based on marginal particle filter and particle swarm optimization
- Comparison of the performance of particle filter algorithms applied to tracking of a disease epidemic
- Shifts in volatility driven by large stock market shocks
- Approximate posterior distributions for convolutional two-level hidden Markov models
- Multivariate Wishart stochastic volatility and changes in regime
- Particle filters and Bayesian inference in financial econometrics
- Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
- Markov switching model analysis of implied volatility for market indexes with applications to S\&P 500 and DAX
- Periodic autoregressive stochastic volatility
- Sequential estimation of mixtures of structured autoregressive models
- Bayesian modeling of financial returns: a relationship between volatility and trading volume
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- An efficient sequential learning algorithm in regime-switching environments
- Gibbs sampling approach to regime switching analysis of financial time series
- Factor stochastic volatility with time varying loadings and Markov switching regimes
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