A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models

DOI10.1080/03610918.2011.563002zbMath1219.62162MaRDI QIDQ3087583

Jin-Guan Lin, Yong Li, Zhongxin Ni

Publication date: 16 August 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.563002

zbMATH Keywords

path sampling; Bayes factor; financial time series

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62F15: Bayesian inference

Related Items

Bayesian testing for jumps in stochastic volatility models with correlated jumps, Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis

Uses Software

• tsbridge

Cites Work

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