Bayesian semiparametric Markov switching stochastic volatility model
From MaRDI portal
Publication:6574607
DOI10.1002/ASMB.2434MaRDI QIDQ6574607FDOQ6574607
Authors: Audronė Virbickaitė, Hedibert F. Lopes
Publication date: 18 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Statistical analysis of finite mixture distributions
- Bayesian Density Estimation and Inference Using Mixtures
- Markov chain Monte Carlo methods for stochastic volatility models.
- Finite mixture and Markov switching models.
- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- On Gibbs sampling for state space models
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems
- Bayes Factors
- Title not available (Why is that?)
- Title not available (Why is that?)
- Multivariate Stochastic Variance Models
- Factor stochastic volatility with time varying loadings and Markov switching regimes
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Estimation of stochastic volatility models with diagnostics
- On a class of Bayesian nonparametric estimates: I. Density estimates
- Particle learning and smoothing
- Title not available (Why is that?)
- Leverage, heavy-tails and correlated jumps in stochastic volatility models
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
- Title not available (Why is that?)
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Bayesian semiparametric stochastic volatility modeling
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- On some models for value-at-risk
- Bayesian semiparametric multivariate GARCH modeling
- Particle learning for general mixtures
- A Monte Carlo Markov chain algorithm for a class of mixture time series models
- Bayesian mixture of autoregressive models
- A Bayesian semiparametric model for volatility with a leverage effect
- Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
- A review of threshold time series models in finance
- Bayesian modeling of financial returns: a relationship between volatility and trading volume
- A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
- Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns
- Title not available (Why is that?)
- Particle learning for Bayesian semi-parametric stochastic volatility model
This page was built for publication: Bayesian semiparametric Markov switching stochastic volatility model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6574607)