A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models

DOI10.1080/03610918.2011.563002zbMath1219.62162OpenAlexW1994610384MaRDI QIDQ3087583

Yong Li, Jin-Guan Lin, 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 samplingBayes factorfinancial time series

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

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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