Variable dimension via stochastic volatility model using FX rates

DOI10.1080/02664763.2013.807330MaRDI QIDQ5129099zbMATH OpenOpenAlexFDO

Authors Wantanee Surapaitoolkorn

Publication date 26 October 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10.1080/02664763.2013.807330

zbMATH Keywords

Bayesian computationchangepoint analysisFX ratesMCMCstochastic volatility modelvariable dimension process

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian Retrospective Multiple-Changepoint Identification
• BUGS for a Bayesian analysis of stochastic volatility models
• Elementary Stochastic Calculus, with Finance in View
• Equation of state calculations by fast computing machines
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Markov chain Monte Carlo methods for switching diffusion models
• Monte Carlo sampling methods using Markov chains and their applications
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Statistical methods in finance
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Cited in

(3)

• A multivariate stochastic volatility model with applications in the foreign exchange market
• XVA in a multi-currency setting with stochastic foreign exchange rates
• Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19

Describes a project that uses

Uses Software

• BUGS
• QRM

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