Shape-constrained semiparametric additive stochastic volatility models

DOI10.1080/24754269.2019.1573410OpenAlexW2911820835MaRDI QIDQ5879997FDOQ5879997

Steven N. MacEachern, Xinyi Xu, Jiangyong Yin, Peter F. Craigmile

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2019.1573410

zbMATH Keywords

Markov chain Monte Carlononlinear time seriesstate space modelparticle filterleverage effectBayesian isotonic regression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Exponential convergence of Langevin distributions and their discrete approximations
• RcppArmadillo: accelerating R with high-performance C++ linear algebra
• On leverage in a stochastic volatility model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Particle Markov Chain Monte Carlo Methods
• Sequential Monte Carlo Methods for Dynamic Systems
• Bayesian Isotonic Regression and Trend Analysis
• Monte Carlo Smoothing for Nonlinear Time Series
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• Leverage, heavy-tails and correlated jumps in stochastic volatility models
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Realistic Statistical Modelling of Financial Data
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Title not available (Why is that?)
• Kernel deconvolution of stochastic volatility models
• Bayesian estimation and inference for generalised partial linear models using shape-restricted splines
• Bayesian Multivariate Isotonic Regression Splines
• A semiparametric stochastic volatility model

Cited In (1)

• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

Uses Software

• R
• RcppArmadillo

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