Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
From MaRDI portal
Publication:1927147
Recommendations
- Multivariate stochastic volatility model with cross leverage
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- Dynamic equicorrelation stochastic volatility
- Matrix exponential stochastic volatility with cross leverage
- Stochastic volatility with leverage: fast and efficient likelihood inference
Cites work
- A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
- A simple and efficient simulation smoother for state space time series analysis
- Analysis of high dimensional multivariate stochastic volatility models
- Asymmetric Multivariate Stochastic Volatility
- Bayesian Measures of Model Complexity and Fit
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Disturbance smoother for state space models
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously
- Factor stochastic volatility with time varying loadings and Markov switching regimes
- scientific article; zbMATH DE number 1261669 (Why is no real title available?)
- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- Likelihood analysis of non-Gaussian measurement time series
- Multivariate Stochastic Volatility
- Multivariate Stochastic Volatility Models with Correlated Errors
- Multivariate Stochastic Volatility: A Review
- Sequential Monte Carlo Methods in Practice
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Stochastic volatility with leverage: fast and efficient likelihood inference
- The simulation smoother for time series models
Cited in
(17)- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Matrix exponential stochastic volatility with cross leverage
- Dynamic equicorrelation stochastic volatility
- A method for high-dimensional smoothing
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- On 1/f noise
- Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
- Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
- Multivariate stochastic volatility model with cross leverage
- scientific article; zbMATH DE number 7387555 (Why is no real title available?)
- Bayesian analysis of multivariate stochastic volatility with skew return distribution
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- Testing for parameter changes in linear state space models
- Bayesian Approach to Lorenz Curve Using Time Series Grouped Data
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
This page was built for publication: Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1927147)
