An empirical Bayesian forecast in the threshold stochastic volatility models

DOI10.1080/00949655.2011.620251MaRDI QIDQ4922646zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

thresholdMCMCempirical Bayesstochastic volatility modelVaR

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayes and empirical Bayes methods for data analysis.
• Bayesian Measures of Model Complexity and Fit
• Deviance information criteria for missing data models
• Generalized autoregressive conditional heteroscedasticity
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Multivariate modelling of the autoregressive random variance process
• Natural exponential families with quadratic variance functions: Statistical theory
• Partial non-Gaussian state space
• Statistical decision theory and Bayesian analysis. 2nd ed

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

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Uses Software

• RiskMetrics

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