Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks

DOI10.1515/SNDE-2014-0043MaRDI QIDQ2687889zbMATH OpenOpenAlexFDO

Authors Nima Nonejad

Publication date 7 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2014-0043

zbMATH Keywords

ancestor samplingBayesparticle filteringstructural breaks

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10) Stochastic models in economics (91B70) Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Backward simulation methods for Monte Carlo statistical inference
• Bayes Factors
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
• Bayesian Measures of Model Complexity and Fit
• Contemporary Bayesian Econometrics and Statistics
• Estimation and comparison of multiple change-point models
• scientific article; zbMATH DE number 597911 (Why is no real title available?)
• Long memory and nonlinearities in realized volatility: a Markov switching approach
• Long memory with stochastic variance model: a recursive analysis for US inflation
• Marginal Likelihood from the Gibbs Output
• Markov chain Monte Carlo methods for stochastic volatility models.
• Methods for inference in large multiple-equation Markov-switching models
• Moving average stochastic volatility models with application to inflation forecast
• Particle Filtering for Partially Observed Gaussian State Space Models
• Particle Gibbs with ancestor sampling
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• State space modeling of long-memory processes
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(6)

• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Particle Gibbs with ancestor sampling
• Bayesian inference for ARFIMA models
• A point mass proposal method for Bayesian state-space model fitting
• Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure
• A switching state-space transmission model for tracking epidemics and assessing interventions

Describes a project that uses

Uses Software

• bvarsv

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