Modelling stochastic volatility using generalizedtdistribution

DOI10.1080/00949655.2011.608067zbMath1348.62250MaRDI QIDQ4922633

Joanna J. J. Wang, S. T. Boris Choy, Jennifer So-Kuen Chan

Publication date: 3 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.608067

zbMATH Keywords

stochastic volatility; Markov chain Monte Carlo; generalized distribution; outlier diagnostics; uniform scale mixture

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91B70: Stochastic models in economics

62E10: Characterization and structure theory of statistical distributions

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Uses Software

• WinBUGS
• BUGS

Cites Work

• Hierarchical models with scale mixtures of normal distributions
• Generalized autoregressive conditional heteroscedasticity
• Markov chain Monte Carlo methods for stochastic volatility models.
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• An empirical evaluation of fat-tailed distributions in modeling financial time series
• BUGS for a Bayesian analysis of stochastic volatility models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
• Alternative beta estimation for the market model using partially adaptive techniques
• SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
• The Price Variability-Volume Relationship on Speculative Markets
• Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution
• Bayesian Measures of Model Complexity and Fit