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

DOI10.1007/S10255-023-1095-YMaRDI QIDQ6089350zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
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• Comparing stochastic volatility models through Monte Carlo simulations
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Markov chain Monte Carlo methods for stochastic volatility models.
• Multivariate Stochastic Variance Models
• Pricing foreign currency options with stochastic volatility
• Projection correlation between two random vectors
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Threshold heteroskedastic models

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