Bayesian estimation and the application of long memory stochastic volatility models
DOI10.1016/J.STAMET.2006.01.001zbMATH Open1248.62162OpenAlexW2080191580MaRDI QIDQ713736FDOQ713736
Authors: Lixia Xu, Cihua Liu, Gaoqin Nie 
Publication date: 19 October 2012
Published in: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.stamet.2006.01.001
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Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Time series: theory and methods
- A limit theory for long-range dependence and statistical inference on related models
- Long memory processes and fractional integration in econometrics
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The detection and estimation of long memory in stochastic volatility
- ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
Cited In (10)
- Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models
- A Bayesian approach to estimating the long memory parameter
- Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
- Title not available (Why is that?)
- Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
- Long memory stochastic volatility : A bayesian approach
- Estimation and forecasting of long memory stochastic volatility models
- Bayesian estimation of long memory models and its application to exchange rates
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
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