Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns

DOI10.1002/ASMB.2258zbMATH Open1396.62249OpenAlexW2720558311MaRDI QIDQ5374580FDOQ5374580

Samir P. Warty, Nicholas G. Polson, Hedibert F. Lopes

Publication date: 14 September 2018

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2258

zbMATH Keywords

sequential Monte Carlostochastic volatilityBayesian learningvariance gammaauxiliary particle filtering

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential estimation (62L12) Stochastic models in economics (91B70)

Cited In (6)

• Bayesian semiparametric Markov switching stochastic volatility model
• An optimal switching approach toward cost-effective control of a stand-alone photovoltaic panel system under stochastic environment
• Discussion of :``Multivariate generalized hyperbolic laws for modeling financial log-returns -- empirical and theoretical considerations
• Capturing deep tail risk via sequential learning of quantile dynamics
• A new filtering inference procedure for a GED state-space volatility model
• Discussion of “Sequential Bayesian learning for stochastic volatility with variance‐gamma jumps in returns”

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