Modeling volatility using state space models with heavy tailed distributions

DOI10.1016/J.MATCOM.2015.08.005MaRDI QIDQ2228729zbMATH OpenOpenAlexFDO

Authors Frank M. de Pinho, Ralph S. Silva, Glaura C. Franco

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.2015.08.005

zbMATH Keywords

Bayesian inferenceclassical inferencenon-Gaussian state space modelstochastic volatilitystock price index

Mathematics Subject Classification ID

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

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Cited in

(4)

• A new filtering inference procedure for a GED state-space volatility model
• Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
• Volatility GARCH models with the ordered weighted average (OWA) operators
• A Stochastic Volatility Model With Realized Measures for Option Pricing

Describes a project that uses

Uses Software

• FinTS

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