Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market

DOI10.1007/S10255-023-1095-YOpenAlexW4388492173MaRDI QIDQ6089350FDOQ6089350

Authors: Caifeng Wang, Cong Xie, Zi-yu Ma, Huimin Zhao 

Publication date: 17 November 2023

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-023-1095-y

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zbMATH Keywords

Bayesian estimationMarkov chain Monte Carlo methodstochastic volatility modeldeviance information criteriondoubly truncated Cauchy distribution

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

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• Threshold heteroskedastic models
• Pricing foreign currency options with stochastic volatility
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