Stochastic tail index model for high frequency financial data with Bayesian analysis
From MaRDI portal
(Redirected from Publication:1644258)
Recommendations
- Bayesian analysis of stochastic volatility models with flexible tails
- Bayesian analysis of stochastic volatility models
- scientific article; zbMATH DE number 1301873
- Bayesian analysis of a stochastic volatility model using Gibbs sampling
- Analysis of high dimensional multivariate stochastic volatility models
Cites work
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- scientific article; zbMATH DE number 3954119 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- A simple and efficient simulation smoother for state space time series analysis
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Auxiliary mixture sampling for parameter-driven models of time series of counts with applications to state space modelling
- Auxiliary mixture sampling with applications to logistic models
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Coherent measures of risk
- Dynamic equicorrelation stochastic volatility
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
- Efficient estimation and particle filter for max-stable processes
- Extreme value theory. An introduction.
- Filtering via Simulation: Auxiliary Particle Filters
- Fixed-Width Output Analysis for Markov Chain Monte Carlo
- Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- Marginal Likelihood From the Metropolis–Hastings Output
- Marginal Likelihood from the Gibbs Output
- Markov chain Monte Carlo methods for stochastic volatility models.
- Matrix exponential stochastic volatility with cross leverage
- Models for dependent extremes using stable mixtures
- News impact curve for stochastic volatility models
- On leverage in a stochastic volatility model
- On particle methods for parameter estimation in state-space models
- Particle filters
- Smoothing sample extremes with dynamic models
- Statistical inference for conditional quantiles in nonlinear time series models
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic volatility with leverage: fast and efficient likelihood inference
- The Oxford handbook of Bayesian econometrics
- The random walk Metropolis: linking theory and practice through a case study
- The simulation smoother for time series models
- Time series analysis by state space methods.
Cited in
(9)- Adaptive robust large volatility matrix estimation based on high-frequency financial data
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
- New extreme value theory for maxima of maxima
- Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
- Volatility models for stylized facts of high‐frequency financial data
- Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
- Bayes estimation via filtering equation through implicit recursive algorithms for financial ultra-high frequency data
- Dynamic tail inference with log-Laplace volatility
This page was built for publication: Stochastic tail index model for high frequency financial data with Bayesian analysis
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1644258)
