Bayesian estimation of dynamic asset pricing models with informative observations

DOI10.1016/j.jeconom.2018.11.014zbMath1452.62765OpenAlexW2908072806WikidataQ128885203 ScholiaQ128885203MaRDI QIDQ1740278

Andras Fulop, Junye Li

Publication date: 30 April 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.11.014

zbMATH Keywords

common random numbersauxiliary particle filterself-exciting jumpsnon-affinenessoptimal proposal densitysequential Monte Carlo sampler

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (1)

Scalable inference for a full multivariate stochastic volatility model

Cites Work

• Unnamed Item
• The pseudo-marginal approach for efficient Monte Carlo computations
• The Correlated Pseudo-Marginal Method
• An adaptive sequential Monte Carlo method for approximate Bayesian computation
• Particle filters for continuous likelihood evaluation and maximisation
• Do price and volatility jump together?
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Resolution of policy uncertainty and sudden declines in volatility
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• Volatility Jumps
• Sequential Monte Carlo Samplers
• Filtering via Simulation: Auxiliary Particle Filters
• Particle Markov Chain Monte Carlo Methods
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Sequential Quasi Monte Carlo
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models

This page was built for publication: Bayesian estimation of dynamic asset pricing models with informative observations