Adaptive MCMC methods for inference on affine stochastic volatility models with jumps

DOI10.1111/j.1368-423X.2005.00162.xzbMath1073.62095MaRDI QIDQ5703228

Davide Raggi

Publication date: 8 November 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

Bayes factor; jump diffusions; auxiliary particle filter

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Value at risk estimation under stochastic volatility models using adaptive PMCMC methods, Application in stochastic volatility models of nonlinear regression with stochastic design, Scaling analysis of delayed rejection MCMC methods

Uses Software

• Ox
• tsbridge

Cites Work

• Unnamed Item
• A note on Metropolis-Hastings kernels for general state spaces
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Markov chain Monte Carlo methods for stochastic volatility models.
• Rates of convergence of the Hastings and Metropolis algorithms
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• Sequential Monte Carlo Methods in Practice
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Marginal Likelihood From the Metropolis–Hastings Output
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach