Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets

DOI10.1016/J.MATCOM.2015.06.006MaRDI QIDQ2228675zbMATH OpenOpenAlexFDO

Authors Yanhui Xi, Hui Peng, Yemei Qin, Wenbiao Xie, Xiaohong Chen

Publication date 19 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2015.06.006

zbMATH Keywords

heavy tailsStudent-\(t\) distributionMarkov chain Monte Carlo algorithma mixture of two normal distributionsmarket microstructure model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• scientific article; zbMATH DE number 3442988 (Why is no real title available?)
• A Student t-mixture autoregressive model with applications to heavy-tailed financial data
• BUGS for a Bayesian analysis of stochastic volatility models
• Bayesian Measures of Model Complexity and Fit
• Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
• Bayesian estimation of the Gaussian mixture GARCH model
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Leverage, heavy-tails and correlated jumps in stochastic volatility models
• MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
• Markov chain Monte Carlo methods for stochastic volatility models.
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Stochastic volatility with leverage: fast and efficient likelihood inference

Cited in

(3)

• A fast and efficient Markov chain Monte Carlo method for market microstructure model
• Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
• Modeling financial time series based on a market microstructure model with leverage effect

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