Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19

DOI10.1080/02664763.2022.2064440MaRDI QIDQ6176281zbMATH OpenOpenAlexFDO

Authors

Publication date 25 July 2023

Published in Journal of Applied Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/02664763.2022.2064440

zbMATH Keywords

Asian FX ratesBayesian computationMarkov chain Monte Carlo (MCMC)stochastic volatility model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Multivariate Stochastic Variance Models
• On Gibbs sampling for state space models
• Statistical methods in finance
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Variable dimension via stochastic volatility model using FX rates

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