Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
DOI10.1111/1368-423X.T01-1-00116zbMATH Open1065.91533MaRDI QIDQ4458366FDOQ4458366
Andreas Berg, David A. Fournier, Renate Meyer
Publication date: 17 March 2004
Published in: Econometrics Journal (Search for Journal in Brave)
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heavy tailed distributionsMarkov chain Monte Carlo (MCMC) techniquesnon-Gaussian nonlinear state-space models
Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)
Cites Work
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- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- On Gibbs sampling for state space models
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- Filtering via Simulation: Auxiliary Particle Filters
- Monte Carlo sampling methods using Markov chains and their applications
- The Price Variability-Volume Relationship on Speculative Markets
- Multivariate Stochastic Variance Models
- Contemporary Bayesian Econometrics and Statistics
- Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl
- BUGS for a Bayesian analysis of stochastic volatility models
- Title not available (Why is that?)
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
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- Objections to Bayesian statistics
- Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships
- Efficient Derivative Codes through Automatic Differentiation and Interface Contraction: An Application in Biostatistics
Cited In (12)
- AD Model Builder: using automatic differentiation for statistical inference of highly parameterized complex nonlinear models
- Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models
- Simulation-Based Estimation Methods for Financial Time Series Models
- The hierarchical-likelihood approach to autoregressive stochastic volatility models
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Comparison of MCMC methods for estimating stochastic volatility models
- Multivariate stochastic volatility with Bayesian dynamic linear models
- A flexible and automated likelihood based framework for inference in stochastic volatility models
- A Bayesian analysis of the Bingham distribution
- Title not available (Why is that?)
- 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
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