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

DOI10.1177/1471082X0800900105MaRDI QIDQ4970906zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 5299701 (Why is no real title available?)
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• Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Markov chain Monte Carlo methods for stochastic volatility models.
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Regression theory for categorical time series
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The Price Variability-Volume Relationship on Speculative Markets
• The simulation smoother for time series models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(4)

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

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