Stochastic volatility with leverage: fast and efficient likelihood inference
From MaRDI portal
Publication:451250
DOI10.1016/J.JECONOM.2006.07.008zbMATH Open1247.91207OpenAlexW2127297724MaRDI QIDQ451250FDOQ451250
Siddhartha Chib, Neil Shephard, Yasuhiro Omori, Jouchi Nakajima
Publication date: 23 September 2012
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.008
Recommendations
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- On leverage in a stochastic volatility model
- Bayesian analysis of stochastic volatility models
- Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
Cites Work
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Sequential Monte Carlo Methods in Practice
- Financial Modelling with Jump Processes
- Alternative models for stock price dynamics.
- Markov chain Monte Carlo methods for stochastic volatility models.
- On leverage in a stochastic volatility model
- Time series analysis by state space methods
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Partial non-Gaussian state space
- On Gibbs sampling for state space models
- A simple and efficient simulation smoother for state space time series analysis
- Stochastic Volatility for Lévy Processes
- Remarks on a Multivariate Transformation
- Marginal Likelihood from the Gibbs Output
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Filtering via Simulation: Auxiliary Particle Filters
- The simulation smoother for time series models
- Bayesian forecasting and dynamic models.
- Multivariate Stochastic Variance Models
- Marginal Likelihood From the Metropolis–Hastings Output
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Statistical methods in finance
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Title not available (Why is that?)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Statistical algorithms for models in state space using SsfPack 2.2
- Nonlinear State-Space Models With State-Dependent Variances
Cited In (only showing first 100 items - show all)
- Testing for jumps in the stochastic volatility models
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
- Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
- Particle filters for continuous likelihood evaluation and maximisation
- Title not available (Why is that?)
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- Comparison of asymmetric stochastic volatility models under different correlation structures
- A dynamic linear model with extended skew-normal for the initial distribution of the state parameter
- Realized stochastic volatility with leverage and long memory
- Inference in Lévy-type stochastic volatility models
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- A generalised stochastic volatility in mean VAR
- Testing for time variation in an unobserved components model for the U.S. economy
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- Title not available (Why is that?)
- Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
- A flexible mixed-frequency vector autoregression with a steady-state prior
- A Bayesian robust chi-squared test for testing simple hypotheses
- A Bayesian semiparametric model for volatility with a leverage effect
- High dimensional dynamic stochastic copula models
- Asymmetry in stochastic volatility models with threshold and time-dependent correlation
- The structure of dynamic correlations in multivariate stochastic volatility models
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
- Matrix exponential stochastic volatility with cross leverage
- Bayesian semiparametric stochastic volatility modeling
- Bayesian analysis of multivariate stochastic volatility with skew return distribution
- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- Bayesian estimation of an extended local scale stochastic volatility model
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously
- On conditional variance estimation in nonparametric regression
- Efficient estimation and particle filter for max-stable processes
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Efficient MCMC sampling in dynamic mixture models
- Shifts in volatility driven by large stock market shocks
- News impact curve for stochastic volatility models
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- A semiparametric stochastic volatility model
- Estimation and forecasting of long memory stochastic volatility models
- Particle filters and Bayesian inference in financial econometrics
- Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
- Moving average stochastic volatility models with application to inflation forecast
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
- A flexible and automated likelihood based framework for inference in stochastic volatility models
- Bayesian estimation and stochastic model specification search for dynamic survival models
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
- Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
- Multivariate stochastic volatility, leverage and news impact surfaces
- Particle rolling MCMC with double-block sampling
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell
- A non-iterative (trivial) method for posterior inference in stochastic volatility models
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Auxiliary mixture sampling with applications to logistic models
- Parametric and nonparametric models and methods in financial econometrics
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
- Shape-constrained semiparametric additive stochastic volatility models
- A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- Bayesian semiparametric Markov switching stochastic volatility model
- Bayesian testing volatility persistence in stochastic volatility models with jumps
- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
- Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
- Sequential Bayesian inference for vector autoregressions with stochastic volatility
- Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution
- On a buffered threshold autoregressive stochastic volatility model
- Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Efficient data augmentation techniques for some classes of state space models
- Simulation-Based Estimation Methods for Financial Time Series Models
- Modeling financial time series based on a market microstructure model with leverage effect
- MCMC interweaving strategy for estimating stochastic volatility model and its application
- Intraday Data vs Daily Data to Forecast Volatility in Financial Markets
- Skew selection for factor stochastic volatility models
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- Particle learning for Bayesian semi-parametric stochastic volatility model
- A new filtering inference procedure for a GED state-space volatility model
- Using Survey Information for Improving the Density Nowcasting of U.S. GDP
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
- Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
- A new method for sequential learning of states and parameters for state-space models: the particle swarm learning optimization
- Horizon-unbiased investment with ambiguity
- Bayesian prediction of jumps in large panels of time series data
- UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY
- Dynamic regression models for time-ordered functional data
- Efficient Semiparametric Bayesian Estimation of Multivariate Discrete Proportional Hazards Model with Random Effects
- A simulation smoother for long memory time series with correlated and heteroskedastic additive noise
- Stochastic Filtering Methods in Electronic Trading
- Oil-price density forecasts of US GDP
- Periodic autoregressive stochastic volatility
- An effcient exact Bayesian method for state space models with stochastic volatility
- Time-dependent shrinkage of time-varying parameter regression models
- Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
Uses Software
This page was built for publication: Stochastic volatility with leverage: fast and efficient likelihood inference
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q451250)
