Bayesian approach to Markov switching stochastic volatility model with jumps

DOI10.1080/03610918.2011.589331MaRDI QIDQ3102909zbMATH OpenOpenAlexFDO

Authors Chao Yu, Jingxiao Zhang

Publication date 25 November 2011

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

Full work available at URL https://doi.org/10.1080/03610918.2011.589331

zbMATH Keywords

Monte Carlo Markov chain

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• On Gibbs sampling for state space models
• Simulated Moments Estimation of Markov Models of Asset Prices
• Testing for jumps in a discretely observed process
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(8)

• Bayesian testing volatility persistence in stochastic volatility models with jumps
• Speculative bubbles in present-value models: a Bayesian Markov-switching state space approach
• Full Bayesian Analysis for a Class of Jump-Diffusion Models
• Simulation-based sequential analysis of Markov switching stochastic volatility models
• Parameter estimation of stochastic volatility model with jump
• Stochastic volatility model with correlated jump sizes and independent arrivals
• Bayesian testing for jumps in stochastic volatility models with correlated jumps
• Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”

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