Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
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Cited in
(19)- Simulation-based estimation methods for financial time series models
- Riemann manifold Langevin methods on stochastic volatility estimation
- Value at risk estimation under stochastic volatility models using adaptive PMCMC methods
- Comparison of MCMC methods for estimating stochastic volatility models
- A Bayesian analysis of the Bingham distribution
- Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models
- SV model estimation based on Bayesian computation with empirical likelihood
- Multivariate stochastic volatility with Bayesian dynamic linear models
- A flexible and automated likelihood based framework for inference in stochastic volatility models
- Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- AD Model Builder: using automatic differentiation for statistical inference of highly parameterized complex nonlinear models
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- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Stochastic variational inference for GARCH models
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