On generalised asymmetric stochastic volatility models

DOI10.1016/J.CSDA.2011.06.031zbMATH Open1241.91146OpenAlexW2009312408MaRDI QIDQ429633FDOQ429633

Authors: Georgios Tsiotas 

Publication date: 20 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.031

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zbMATH Keywords

Metropolis-Hastingsmodel selectionMCMCskew-normal distributionleverage effectstochastic volatilityDICskew-\(t\) distributionforecasting evaluationnoncentral-\(t\) distribution

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05) Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites Work

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Cited In (30)

• On the use of non-linear transformations in stochastic volatility models
• Non‐trading day effects in asymmetric conditional and stochastic volatility models
• Likelihood-based inference for asymmetric stochastic volatility models
• Dynamic Asymmetric Leverage in Stochastic Volatility Models
• On geometric ergodicity of skewed-SVCHARME models
• An ABC approach for CAViaR models with asymmetric kernels
• Asymmetric Multivariate Stochastic Volatility
• Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
• Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
• On asymmetric generalised t stochastic volatility models
• Realized stochastic volatility with general asymmetry and long memory
• Modeling financial time series based on a market microstructure model with leverage effect
• Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
• Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
• Leverage effect for volatility with generalized Laplace error
• Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
• Econometric analysis of volatile art markets
• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Data cloning estimation for asymmetric stochastic volatility models
• A triple-threshold leverage stochastic volatility model
• Asymmetric volatility impulse response functions
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• Financial volatility modeling: The feedback asymmetric conditional autoregressive range model
• The split-SV model
• Maximum likelihood estimates for positive valued dynamic score models; the DySco package
• A quasi-Bayesian model averaging approach for conditional quantile models
• A Bayesian encompassing test using combined value-at-risk estimates
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• Geometric ergodicity of asymmetric volatility models with stochastic parameters
• Bad environments, good environments: a non-Gaussian asymmetric volatility model

Uses Software

• BayesDA

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