Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
From MaRDI portal
Recommendations
- Bayesian analysis of stochastic volatility models
- Inference for stochastic volatility models using time change transformations
- Markov chain Monte Carlo methods for stochastic volatility models.
- scientific article; zbMATH DE number 1522717
- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
Cites work
- A simple and efficient simulation smoother for state space time series analysis
- Adaptive Rejection Metropolis Sampling within Gibbs Sampling
- Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
- Bayes Factors
- Bayesian forecasting and dynamic models.
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Bayesian Vector Autoregressions with Stochastic Volatility
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Filtering via Simulation: Auxiliary Particle Filters
- Likelihood analysis of non-Gaussian measurement time series
- Local scale models. State space alternative to integraded GARCH processes
- Mixture Kalman Filters
- Multivariate Stochastic Variance Models
- On Gibbs sampling for state space models
- Partial non-Gaussian state space
- Sequential Monte Carlo Methods in Practice
- Smoothness priors analysis of time series
- Statistical algorithms for models in state space using SsfPack 2.2
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
- The simulation smoother for time series models
- Time series analysis by state space methods
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
Cited in
(11)- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
- A new filtering inference procedure for a GED state-space volatility model
- Inference for stochastic volatility models using time change transformations
- An effcient exact Bayesian method for state space models with stochastic volatility
- Generalized dynamic linear models for financial time series
- Sequential Monte Carlo methods for stochastic volatility models: a review
- A survey of sequential Monte Carlo methods for economics and finance
- Multivariate Stochastic Volatility: A Review
- Simulated maximum likelihood in autoregressive models with stochastic volatility errors
- Efficient Bayesian estimation of multivariate state space models
This page was built for publication: Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5485104)
