Data cloning estimation for asymmetric stochastic volatility models

DOI10.1080/07474938.2020.1770997zbMATH Open1490.62315OpenAlexW2946092103MaRDI QIDQ5861027FDOQ5861027

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

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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)

Cites Work

• The Model Confidence Set
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• Dynamic Asymmetric Leverage in Stochastic Volatility Models
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• Prediction-based estimating functions
• A semiparametric stochastic volatility model
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• On filtering and estimation of a threshold stochastic volatility model
• Threshold variable selection of asymmetric stochastic volatility models
• Moments and dynamic structure of a time‐varying parameter stochastic volatility in mean model
• News impact curve for stochastic volatility models
• Realized stochastic volatility with general asymmetry and long memory
• Kalman filter-based modelling and forecasting of stochastic volatility with threshold

Cited In (4)

• Data cloning: maximum likelihood estimation of DSGE models
• A hybrid data cloning maximum likelihood estimator for stochastic volatility 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

Uses Software

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

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