Riemann manifold Langevin methods on stochastic volatility estimation

DOI10.1080/03610918.2016.1255972MaRDI QIDQ3133063zbMATHOpenAlexFDO

Authors Mauricio Zevallos, Loretta B. Gasco, Ricardo S. Ehlers

Publication date 12 February 2018

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

Full work available at URL https://arxiv.org/abs/1507.05079

zbMATH Keywords

Markov chain Monte CarloMetropolis-HastingsBayesian analysisvalue at riskLangevin methods

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: In this paper we perform Bayesian estimation of stochastic volatility models with heavy tail distributions using Metropolis adjusted Langevin (MALA) and Riemman manifold Langevin (MMALA) methods. We provide analytical expressions for the application of these methods, assess the performance of these methodologies in simulated data and illustrate their use on two financial time series data sets.

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(2)

• Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
• The application of improved Markov chain Monte Carlo method in liquidity management of commercial banks

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