An empirical Bayesian forecast in the threshold stochastic volatility models
DOI10.1080/00949655.2011.620251zbMATH Open1348.62234OpenAlexW2092804384MaRDI QIDQ4922646FDOQ4922646
Authors:
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/10.1080/00949655.2011.620251
Recommendations
- Threshold variable selection of asymmetric stochastic volatility models
- A multivariate threshold stochastic volatility model
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Bayesian inference for stochastic volatility models using the generalized skew-\(t\) distribution with applications to the Shenzhen Stock Exchange returns
- Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's \(t\)-distribution
Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Bayesian Measures of Model Complexity and Fit
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Partial non-Gaussian state space
- Deviance information criteria for missing data models
- Title not available (Why is that?)
- Statistical decision theory and Bayesian analysis. 2nd ed
- Bayes and empirical Bayes methods for data analysis.
- Natural exponential families with quadratic variance functions: Statistical theory
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Multivariate modelling of the autoregressive random variance process
Cited In (5)
- Forecasting time-varying covariance with a robust Bayesian threshold model
- Maximizing equity market sector predictability in a Bayesian time-varying parameter model
- A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
- Modeling and forecasting volatility in a Bayesian approach
- Threshold variable selection of asymmetric stochastic volatility models
Uses Software
This page was built for publication: An empirical Bayesian forecast in the threshold stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4922646)
