Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
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Publication:452702
DOI10.1016/J.CSDA.2010.07.008zbMATH Open1247.91152OpenAlexW2027632322MaRDI QIDQ452702FDOQ452702
S. T. Boris Choy, Joanna J. J. Wang, Jennifer S. K. Chan
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.2010.07.008
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Cites Work
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- Bayesian Measures of Model Complexity and Fit
- Markov chain Monte Carlo methods for stochastic volatility models.
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Likelihood analysis of non-Gaussian measurement time series
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Marginal Likelihood from the Gibbs Output
- Multivariate Stochastic Variance Models
- Title not available (Why is that?)
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Estimation of stochastic volatility models with diagnostics
- BUGS for a Bayesian analysis of stochastic volatility models
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Getting It Right
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Title not available (Why is that?)
- Hierarchical models with scale mixtures of normal distributions
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Bayesian student-t stochastic volatility models via scale mixtures
Cited In (17)
- Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
- On geometric ergodicity of skewed-SVCHARME models
- Realized stochastic volatility with leverage and long memory
- On asymmetric generalised t stochastic volatility models
- Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
- Retrospective Bayesian outlier detection in INGARCH series
- Modeling financial time series based on a market microstructure model with leverage effect
- Large portfolio losses in a turbulent market
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
- Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
- Stochastic modelling of volatility and inter-relationships in the Australian electricity markets
- Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- A new method for sequential learning of states and parameters for state-space models: the particle swarm learning optimization
- On generalised asymmetric stochastic volatility models
- The split-SV model
- Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
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