Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach

DOI10.1016/J.CAM.2018.05.036zbMATH Open1460.62166OpenAlexW2803625166WikidataQ129751771 ScholiaQ129751771MaRDI QIDQ724486FDOQ724486

Rahman Farnoosh, Arezoo Hajrajabi, A. R. Yazdanian

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.05.036

Recommendations

• Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations
• Nonlinear autoregressive models with heavy-tailed innovation
• Nonparametric estimation of volatility models with serially dependent innovations
• Bayesian Vector Autoregressions with Stochastic Volatility
• Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility
• Estimation of time-varying autoregressive stochastic volatility models with stable innovations
• Nonparametric Autoregression with Multiplicative Volatility and Additive mean
• A semiparametric estimation for the nonlinear vector autoregressive time series model

zbMATH Keywords

semiparametric estimationBayesian estimationstochastic volatilitysequential Monte Carlo filtering

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Title not available (Why is that?)
• Generalized autoregressive conditional heteroscedasticity
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The pseudo-marginal approach for efficient Monte Carlo computations
• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
• Particle Markov Chain Monte Carlo Methods
• Monte Carlo strategies in scientific computing
• Some recent developments in stochastic volatility modelling
• On extended partially linear single-index models
• On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
• A Numerical-Integration Perspective on Gaussian Filters
• Title not available (Why is that?)
• Efficient estimation in a semiparametric additive regression model with autoregressive errors
• Statistical inference in single-index and partially nonlinear models
• Semiparametric estimation of regression functions in autoregressive models
• A semiparametric method for estimating nonlinear autoregressive model with dependent errors
• An introduction to analysis of financial data with R.
• Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach

Cited In (3)

• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Iterative parameter identification algorithms for transformed dynamic rational fraction input-output systems
• Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations

This page was built for publication: Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q724486)