Stochastic volatility models for ordinal-valued time series with application to finance

DOI10.1177/1471082X0800900105OpenAlexW1997103408MaRDI QIDQ4970906FDOQ4970906

Authors: Claudia Czado, Gernot Müller 

Publication date: 7 October 2020

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/1471082x0800900105

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• scientific article; zbMATH DE number 2065158

zbMATH Keywords

Markov chain Monte Carlotransformation groupprice processhigh-frequency financemultigrid Monte Carlogrouped move

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Markov chain Monte Carlo methods for stochastic volatility models.
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Regression theory for categorical time series
• The simulation smoother for time series models
• The Price Variability-Volume Relationship on Speculative Markets
• Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Econometric modelling of stock market intraday activity.
• Affine processes and applications in finance
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Affine fractional stochastic volatility models
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Title not available (Why is that?)

Cited In (4)

• Adaptively combined forecasting for discrete response time series
• Modeling for dynamic ordinal regression relationships: an application to estimating maturity of rockfish in California
• A mixed autoregressive probit model for ordinal longitudinal data
• Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target

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