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