The hierarchical-likelihood approach to autoregressive stochastic volatility models

DOI10.1016/j.csda.2010.04.014zbMath1247.91141OpenAlexW2094063532MaRDI QIDQ452568

Joan del Castillo, Johan Lim, Youngjo Lee, Woo-Joo Lee

Publication date: 15 September 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.2010.04.014

zbMATH Keywords

predictionhierarchical generalized linear modelhierarchical likelihoodautoregressive stochastic volatility modelsparse matrix computation

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Statistical methods; economic indices and measures (91B82)

Related Items

A review on recent advances and applications of h-likelihood method ⋮ Modifications of REML algorithm for HGLMs ⋮ Modelling random effect variance with double hierarchical generalized linear models

Uses Software

• BUGS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Recursive estimation in econometrics
• Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Quasi-maximum likelihood estimation of stochastic volatility models
• Conditional and marginal models: another view (with comments and rejoinder)
• BUGS for a Bayesian analysis of stochastic volatility models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Multivariate Stochastic Variance Models
• Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
• GLM-methods for volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
• Generalized Linear Models with Random Effects
• Double Hierarchical Generalized Linear Models (With Discussion)