Local scale models. State space alternative to integraded GARCH processes

DOI10.1016/0304-4076(94)90043-4zbMath0800.62807OpenAlexW1960009795MaRDI QIDQ1318993

Neil Shephard

Publication date: 12 April 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90043-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (21)

A Gaussian-generalized inverse Gaussian finite-dimensional filter. ⋮ Power-weighted densities for time series data ⋮ A new filtering inference procedure for a GED state-space volatility model ⋮ Asymptotic filtering theory for multivariate ARCH models ⋮ Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility ⋮ A simple Bayesian state-space approach to the collective risk models ⋮ A tractable state-space model for symmetric positive-definite matrices ⋮ Hellinger distance and non-informative priors ⋮ Time-varying vector autoregressive models with stochastic volatility ⋮ Unnamed Item ⋮ Weak convergence and distributional assumptions for a general class of nonliner arch models ⋮ Modeling volatility using state space models with heavy tailed distributions ⋮ A NON‐GAUSSIAN FAMILY OF STATE‐SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD ⋮ Bayesian analysis of stochastic volatility models with flexible tails ⋮ Pairwise Likelihood Inference for General State Space Models ⋮ Particle filtering approximations for a Gaussian-generalized inverse Gaussian model ⋮ Bayesian estimation of an extended local scale stochastic volatility model ⋮ Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises ⋮ Real-time covariance estimation for the local level model ⋮ Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form ⋮ Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

Cites Work

• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Bayesian forecasting and dynamic models
• Generalized autoregressive conditional heteroscedasticity
• ARCH models as diffusion approximations
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Optimal Properties of Exponentially Weighted Forecasts
• Smoothing and Interpolation with the State-Space Model
• Modelling the persistence of conditional variances
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Gamma processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Common Persistence in Conditional Variances
• Invariant Conditional Distributions
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