Data cloning estimation for asymmetric stochastic volatility models

DOI10.1080/07474938.2020.1770997MaRDI QIDQ5861027zbMATH OpenOpenAlexFDO

Authors P. de Zea Bermudes, Helena Veiga, J. M. Marín

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/28214

zbMATH Keywords

asymmetric volatilitydata cloningnon-Gaussian nonlinear time series modelsskewed and heavy-tailed distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• A semiparametric stochastic volatility model
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• On filtering and estimation of a threshold stochastic volatility model
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• Prediction-based estimating functions
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• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
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• The Distribution of Realized Exchange Rate Volatility
• The Model Confidence Set
• Threshold variable selection of asymmetric stochastic volatility models
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(4)

• Data cloning: maximum likelihood estimation of DSGE models
• Testing data cloning as the basis of an estimator for the stochastic volatility in mean model
• Data cloning estimation of GARCH and COGARCH models
• A hybrid data cloning maximum likelihood estimator for stochastic volatility models

Describes a project that uses

Uses Software

• R
• BUGS
• JAGS
• Stan
• BayesDA
• MSC
• MCS
• dclone
• npreg
• dcmle

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