On geometric ergodicity of skewed-SVCHARME models

DOI10.1016/J.SPL.2013.10.008zbMATH Open1370.60125arXiv1209.1544OpenAlexW2009677125MaRDI QIDQ2444396FDOQ2444396

Authors: Jerzy P. Rydlewski, Małgorzata Snarska 

Publication date: 9 April 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by hidden Markov Chain with switching.

Full work available at URL: https://arxiv.org/abs/1209.1544

Recommendations

• Geometric ergodicity of asymmetric volatility models with stochastic parameters
• On geometric ergodicity of CHARME models
• MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
• Geometric ergodicity and hybrid Markov chains
• Markov chain Monte Carlo methods for stochastic volatility models.

zbMATH Keywords

mixture modelsirreducibilitygeometric ergodicityMarkov switchingasymmetric stochastic volatility

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

Cites Work

• On generalised asymmetric stochastic volatility models
• Likelihood analysis of non-Gaussian measurement time series
• Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)
• Multivariate Stochastic Variance Models
• Markov chains and stochastic stability
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Asymmetric Multivariate Stochastic Volatility
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Density Estimation
• On geometric ergodicity of CHARME models
• MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
• Nonparametric estimation of a time-varying GARCH model
• On geometric ergodicity of nonlinear autoregressive models
• Erratum to: On geometric ergodicity of nonlinear autoregressive models
• ON GEOMETRIC ERGODICITY OF AN AR-ARCH TYPE PROCESS WITH MARKOV SWITCHING

Cited In (4)

• On geometric ergodicity of CHARME models
• Title not available (Why is that?)
• Geometric Ergodicity of van Dyk and Meng's Algorithm for the Multivariate Student'stModel
• On the geometric ergodicity of the mixture autoregressive model

This page was built for publication: On geometric ergodicity of skewed-SVCHARME models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2444396)