Estimation of time-varying autoregressive stochastic volatility models with stable innovations
DOI10.1007/S11222-021-09995-5zbMATH Open1476.62017OpenAlexW3153657063MaRDI QIDQ2058757FDOQ2058757
Publication date: 9 December 2021
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-021-09995-5
finite mixture modelstable distributionGibbs samplingstochastic volatilitytime-varying coefficientselectricity spot prices
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Time series: theory and methods.
- Statistical analysis of finite mixture distributions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Partial non-Gaussian state space
- Handbook of Markov Chain Monte Carlo
- The simulation smoother for time series models
- On a measure of lack of fit in time series models
- Statistical methods in finance
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Estimation of stable CARMA models with an application to electricity spot prices
- Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
- Electricity spot price modelling with a view towards extreme spike risk
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
- Estimating GARCH-type models with symmetric stable innovations: indirect inference versus maximum likelihood
- Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
Cited In (4)
- Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price
- Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Mode Identification of Volatility in Time-Varying Autoregression
This page was built for publication: Estimation of time-varying autoregressive stochastic volatility models with stable innovations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2058757)
