Value at risk estimation under stochastic volatility models using adaptive PMCMC methods

DOI10.1080/03610918.2016.1235188MaRDI QIDQ4607381zbMATH OpenOpenAlexFDO

Authors Xinxia Yang, Ratthachat Chatpatanasiri, Pairote Sattayatham

Publication date 13 March 2018

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2016.1235188

zbMATH Keywords

Bayesian statisticsparticle filteradaptive MCMCstochastic volatilityvalue-at-risk

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1666093 (Why is no real title available?)
• scientific article; zbMATH DE number 52648 (Why is no real title available?)
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• Alternative models for stock price dynamics.
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• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Markov chain Monte Carlo methods for stochastic volatility models.
• Model selection and adaptive Markov chain Monte Carlo for Bayesian cointegrated VAR models
• On leverage in a stochastic volatility model
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing when underlying stock returns are discontinuous
• Particle Markov Chain Monte Carlo Methods
• Particle learning and smoothing
• The pseudo-marginal approach for efficient Monte Carlo computations

Cited in

(5)

• VaR/CVaR estimation under stochastic volatility models
• Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
• VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
• Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
• Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox

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