A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
DOI10.1080/03610918.2011.563002zbMATH Open1219.62162OpenAlexW1994610384MaRDI QIDQ3087583FDOQ3087583
Authors: Yong Li, Zhongxin Ni, Jinguan Lin 
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
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Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Likelihood analysis of non-Gaussian measurement time series
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- Practical Markov Chain Monte Carlo
- Bayes Factors
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- Multivariate Stochastic Variance Models
- Marginal Likelihood From the Metropolis–Hastings Output
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- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Bayesian modelling strategies for spatially varying regression coefficients: a multivariate perspective for multiple outcomes
- A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
- Comparing stochastic volatility models through Monte Carlo simulations
- A Monte Carlo method for an objective Bayesian procedure
Cited In (8)
- Recursive pathways to marginal likelihood estimation with prior-sensitivity analysis
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Prioritizing of volatility models: a computational analysis using data envelopment analysis
- Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
- Deciding between GARCH and stochastic volatility via strong decision rules
- Threshold variable selection of asymmetric stochastic volatility models
- Bayesian testing for jumps in stochastic volatility models with correlated jumps
- Comparing stochastic volatility models through Monte Carlo simulations
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