Bayesian testing for jumps in stochastic volatility models with correlated jumps

DOI10.1080/14697688.2014.916412zbMATH Open1397.62442OpenAlexW2002657571MaRDI QIDQ5247227FDOQ5247227

Li Yong, Jie Zhang

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.916412

zbMATH Keywords

Bayesian statisticsstochastic volatility

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Markov chain Monte Carlo methods for stochastic volatility models.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• BUGS for a Bayesian analysis of stochastic volatility models
• Bayesian hypothesis testing in latent variable models
• A new approach to Bayesian hypothesis testing

Cited In (1)

• Testing for non-correlation between price and volatility jumps

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