Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
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Publication:2000331
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Cites work
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- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
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- Deviance information criteria for missing data models
- Econometric analysis of jump-driven stochastic volatility models
- Efficient simulation and integrated likelihood estimation in state space models
- Estimating the degree of activity of jumps in high frequency data
- Fast computation of the deviance information criterion for latent variable models
- On leverage in a stochastic volatility model
- Optimization of computer simulation models with rare events
- Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
- Simulation smoothing for state-space models: a computational efficiency analysis
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic volatility with leverage: fast and efficient likelihood inference
- The transform likelihood ratio method for rare event simulation with heavy tails
- The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(3)- Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
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