A threshold stochastic volatility model with explanatory variables
From MaRDI portal
Publication:6187969
DOI10.1111/stan.12143OpenAlexW2807705452MaRDI QIDQ6187969
Publication date: 16 January 2024
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/stan.12143
Markov chain Monte CarloBayesian estimationGibbs samplingMetropolis-Hastings samplingthreshold stochastic volatility model
Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx) Probabilistic methods, stochastic differential equations (65Cxx)
Related Items
A new bivariate autoregressive model driven by logistic regression ⋮ A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models ⋮ Statistical inference for self-exciting threshold INAR processes with missing values ⋮ Bayesian inference for quantile autoregressive model with explanatory variables ⋮ Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach ⋮ Bayesian empirical likelihood inference for the generalized binomial AR(1) model
Cites Work
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Quasi-maximum likelihood estimation of stochastic volatility models
- A Bayesian analysis of generalized threshold autoregressive models
- Generalized autoregressive conditional heteroscedasticity
- Markov chains for exploring posterior distributions. (With discussion)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- BUGS for a Bayesian analysis of stochastic volatility models
- Simulated Moments Estimation of Markov Models of Asset Prices
- Sampling-Based Approaches to Calculating Marginal Densities
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The Price Variability-Volume Relationship on Speculative Markets
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Likelihood analysis of non-Gaussian measurement time series
- Bayesian Measures of Model Complexity and Fit
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
- Equation of State Calculations by Fast Computing Machines
- Bayesian modeling of financial returns: A relationship between volatility and trading volume
- Monte Carlo sampling methods using Markov chains and their applications
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item