On the use of non-linear transformations in stochastic volatility models

DOI10.1007/S10260-008-0113-9MaRDI QIDQ257523zbMATH OpenOpenAlexFDO

Authors Georgios Tsiotas

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-008-0113-9

zbMATH Keywords

model selectionMCMCextended Kalman filterBox-Cox transformationforecast evaluationstochastic volatilityYeo-Johnson transformation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 3204183 (Why is no real title available?)
• A Class of Nonlinear Arch Models
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A class of nonlinear stochastic volatility models and its implications for pricing currency options
• A new family of power transformations to improve normality or symmetry
• Bayesian Measures of Model Complexity and Fit
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Estimation of stochastic volatility models with diagnostics
• Inference from iterative simulation using multiple sequences
• Karhunen-Loeve Analysis of Historical Time Series With an Application to Plantation Births in Jamaica
• Likelihood analysis of non-Gaussian measurement time series
• Markov chain Monte Carlo methods for stochastic volatility models.
• Modeling and Forecasting Realized Volatility
• Monte Carlo sampling methods using Markov chains and their applications
• Multivariate Stochastic Variance Models
• On generalised asymmetric stochastic volatility models
• On power transformations to symmetry
• Partial non-Gaussian state space
• Tests of Conditional Predictive Ability
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(6)

• Options on realized variance by transform methods: a non-affine stochastic volatility model
• Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
• On generalised asymmetric stochastic volatility models
• Application in stochastic volatility models of nonlinear regression with stochastic design
• Realized non-linear stochastic volatility models with asymmetric effects and generalized Student's \(t\)-distributions
• Revisiting linear and lognormal stochastic volatility models

Describes a project that uses

Uses Software

• BayesDA

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