Bayesian testing for jumps in stochastic volatility models with correlated jumps

DOI10.1080/14697688.2014.916412MaRDI QIDQ5247227zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

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(3)

• Bayesian testing volatility persistence in stochastic volatility models with jumps
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• Testing for non-correlation between price and volatility jumps

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