A Note on Efficient Fitting of Stochastic Volatility Models

DOI10.1111/jtsa.12561zbMath1468.62337OpenAlexW3089147478MaRDI QIDQ4997694

David S. Stoffer, Chen Gong

Publication date: 30 June 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12561

zbMATH Keywords

stochastic volatilityparticle Gibbsancestral samplingefficient Markov chain Monte Carlo

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Stochastic approximation (62L20)

Related Items (1)

Student‐t stochastic volatility model with composite likelihood EM‐algorithm

Cites Work

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• On Gibbs sampling for state space models
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Filtering via Simulation: Auxiliary Particle Filters
• Particle Markov Chain Monte Carlo Methods
• Multivariate Stochastic Volatility: A Review
• An adaptive Metropolis algorithm

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