Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
From MaRDI portal
(Redirected from Publication:70784)
Abstract: Bayesian inference for stochastic volatility models using MCMC methods highly depends on actual parameter values in terms of sampling efficiency. While draws from the posterior utilizing the standard centered parameterization break down when the volatility of volatility parameter in the latent state equation is small, non-centered versions of the model show deficiencies for highly persistent latent variable series. The novel approach of ancillarity-sufficiency interweaving has recently been shown to aid in overcoming these issues for a broad class of multilevel models. In this paper, we demonstrate how such an interweaving strategy can be applied to stochastic volatility models in order to greatly improve sampling efficiency for all parameters and throughout the entire parameter range. Moreover, this method of "combining best of different worlds" allows for inference for parameter constellations that have previously been infeasible to estimate without the need to select a particular parameterization beforehand.
Recommendations
- Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
- Comparison of MCMC methods for estimating stochastic volatility models
- Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
- A Note on Efficient Fitting of Stochastic Volatility Models
- Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
Cites work
- scientific article; zbMATH DE number 3115454 (Why is no real title available?)
- scientific article; zbMATH DE number 5280144 (Why is no real title available?)
- A simple and efficient simulation smoother for state space time series analysis
- Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
- Efficient parametrisations for normal linear mixed models
- Fast sampling of Gaussian Markov random fields
- LAPACK Users' Guide
- Likelihood analysis of non-Gaussian measurement time series
- Markov chain Monte Carlo methods for stochastic volatility models.
- On Gibbs sampling for state space models
- On generalised asymmetric stochastic volatility models
- On leverage in a stochastic volatility model
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Partial non-Gaussian state space
- Simulation smoothing for state-space models: a computational efficiency analysis
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
- Stochastic volatility with leverage: fast and efficient likelihood inference
Cited in
(53)- Conditionally structured variational Gaussian approximation with importance weights
- Non-linear dimension reduction in factor-augmented vector autoregressions
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- Machine learning the macroeconomic effects of financial shocks
- Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm
- The copula directional dependence by stochastic volatility models
- Vector autoregression models with skewness and heavy tails
- Bayesian neural networks for macroeconomic analysis
- Specification tests for time-varying parameter models with stochastic volatility
- Bridging the Covid-19 data and the epidemiological model using the time-varying parameter SIRD model
- Locally time-varying parameter regression
- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- The condemned live longer -- new evidence of the New Keynesian Phillips curve in central and Eastern Europe
- The effects of climate risks on economic activity in a panel of US states: the role of uncertainty
- The heterogeneous impact of monetary policy on the US labor market
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Efficient data augmentation techniques for some classes of state space models
- Conducting highly principled data science: a statistician's job and joy
- Estimation and specification test for diffusion models with stochastic volatility
- MCMC interweaving strategy for estimating stochastic volatility model and its application
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- stochvol
- Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
- bsvars
- A new filtering inference procedure for a GED state-space volatility model
- Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
- Adaptive Shrinkage in Bayesian Vector Autoregressive Models
- Bayesian exploratory factor analysis
- Persistence of state-level uncertainty of the United States: the role of climate risks
- Sparse Bayesian time-varying covariance estimation in many dimensions
- Achieving shrinkage in a time-varying parameter model framework
- Structural breaks in Taylor rule based exchange rate models -- evidence from threshold time varying parameter models
- Debt regimes and the effectiveness of monetary policy
- Bayesian prediction of jumps in large panels of time series data
- Inference in Bayesian additive vector autoregressive tree models
- Bayesian reconciliation of return predictability
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- A Note on Efficient Fitting of Stochastic Volatility Models
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
- Forecasting global equity indices using large Bayesian VARs
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
- The split-SV model
- Dynamic tail inference with log-Laplace volatility
- Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus
- An effcient exact Bayesian method for state space models with stochastic volatility
- Predicting crypto-currencies using sparse non-Gaussian state space models
- Extended dynamic generalized linear models: the two-parameter exponential family
- Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring
- Locally Adaptive Shrinkage Priors for Trends and Breaks in Count Time Series
- Time-dependent shrinkage of time-varying parameter regression models
- Variance reduction for Metropolis-Hastings samplers
Describes a project that uses
Uses Software
This page was built for publication: Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q70784)
