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

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

Authors: Arezoo Hajrajabi, A. R. Yazdanian, Rahman Farnoosh 

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

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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)

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Cited In (4)

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

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