Multivariate Stochastic Volatility Estimation Using Particle Filters

DOI10.1007/978-1-4939-0569-0_30zbMath1331.91207OpenAlexW330619379MaRDI QIDQ2787388

Kostas Triantafyllopoulos

Publication date: 25 February 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4939-0569-0_30

zbMATH Keywords

particle filtersskew-\(t\) distributionWishart processmultivariate volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70) Sequential estimation (62L12)

Uses Software

• dlm

Cites Work

• Analysis of high dimensional multivariate stochastic volatility models
• The Wishart autoregressive process of multivariate stochastic volatility
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Sequential Monte Carlo Methods in Practice
• Multi-variate stochastic volatility modelling using Wishart autoregressive processes
• Practical Filtering with Sequential Parameter Learning
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Dynamic Linear Models with R
• Multivariate Stochastic Volatility: A Review
• Factor Multivariate Stochastic Volatility via Wishart Processes
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

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