Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine

DOI10.1016/J.CHAOS.2018.07.010zbMATH Open1415.91228OpenAlexW2883497411WikidataQ129557112 ScholiaQ129557112MaRDI QIDQ2000331FDOQ2000331

Xi-Hua Liu, Xin-Tian Zhuang, Xiong Xiong, Xiao-Li Gong

Publication date: 28 June 2019

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2018.07.010

zbMATH Keywords

cross-entropystochastic volatilitydeviance information criterionadaptive importance samplingband matrixnon-Gaussian distribution

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Bayesian Measures of Model Complexity and Fit
• On leverage in a stochastic volatility model
• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• A simple and efficient simulation smoother for state space time series analysis
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Simulation smoothing for state-space models: a computational efficiency analysis
• Deviance information criteria for missing data models
• Analysis of high dimensional multivariate stochastic volatility models
• Econometric analysis of jump-driven stochastic volatility models
• Optimization of computer simulation models with rare events
• Volatility forecast comparison using imperfect volatility proxies
• Estimating the degree of activity of jumps in high frequency data
• The transform likelihood ratio method for rare event simulation with heavy tails
• Efficient simulation and integrated likelihood estimation in state space models
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• Fast computation of the deviance information criterion for latent variable models

Cited In (2)

• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution

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