Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
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Cites work
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- Filtering via Simulation: Auxiliary Particle Filters
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- Likelihood analysis of non-Gaussian measurement time series
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- Monte Carlo sampling methods using Markov chains and their applications
- Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl
- Multivariate Stochastic Variance Models
- Objections to Bayesian statistics
- On Gibbs sampling for state space models
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The Price Variability-Volume Relationship on Speculative Markets
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
Cited in
(20)- Variational Bayesian identification and prediction of stochastic nonlinear dynamic causal models
- A flexible and automated likelihood based framework for inference in stochastic volatility models
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- Inference for stochastic volatility models using time change transformations
- A Bayesian analysis of the Bingham distribution
- Multivariate stochastic volatility with Bayesian dynamic linear models
- AD Model Builder: using automatic differentiation for statistical inference of highly parameterized complex nonlinear models
- Simulation-based estimation methods for financial time series models
- Riemann manifold Langevin methods on stochastic volatility estimation
- The hierarchical-likelihood approach to autoregressive stochastic volatility models
- scientific article; zbMATH DE number 6982909 (Why is no real title available?)
- Value at risk estimation under stochastic volatility models using adaptive PMCMC methods
- SV model estimation based on Bayesian computation with empirical likelihood
- Kalman filter-based modelling and forecasting of stochastic volatility with threshold
- 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
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Stochastic variational inference for GARCH models
- Recursive variational Gaussian approximation with the Whittle likelihood for linear non-Gaussian state space models
- Comparison of MCMC methods for estimating stochastic volatility models
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