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

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

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

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

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

• Generalized autoregressive conditional heteroscedasticity
• Markov chain Monte Carlo methods for stochastic volatility models.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Projection correlation between two random vectors
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Multivariate Stochastic Variance Models
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• BUGS for a Bayesian analysis of stochastic volatility models
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Threshold heteroskedastic models
• Title not available (Why is that?)
• Comparing stochastic volatility models through Monte Carlo simulations

This page was built for publication: Stochastic volatility modeling based on doubly truncated Cauchy distribution and Bayesian estimation for Chinese stock market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6089350)