Bayesian approach to Markov switching stochastic volatility model with jumps
DOI10.1080/03610918.2011.589331zbMATH Open1227.62092OpenAlexW2078931516MaRDI QIDQ3102909FDOQ3102909
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
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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)
Cites Work
- Simulated Moments Estimation of Markov Models of Asset Prices
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Autoregressive conditional heteroskedasticity and changes in regime
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- On Gibbs sampling for state space models
- Testing for jumps in a discretely observed process
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
Cited In (8)
- Bayesian testing volatility persistence in stochastic volatility models with jumps
- Full Bayesian Analysis for a Class of Jump-Diffusion Models
- Speculative bubbles in present-value models: a Bayesian Markov-switching state space approach
- 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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