Bayesian semiparametric stochastic volatility modeling

DOI10.1016/j.jeconom.2010.01.014zbMath1431.62477OpenAlexW3123128110MaRDI QIDQ736526

Mark J. Jensen, John M. Maheu

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.rcea.org/RePEc/pdf/wp23_09.pdf

zbMATH Keywords

stochastic volatilityMarkov chain Monte CarloBayesian nonparametricsmixture modelsDirichlet process mixture prior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Bayesian inference (62F15)

Related Items

A Bayesian semiparametric model for volatility with a leverage effect ⋮ A Bayesian mixed logit-probit model for multinomial choice ⋮ Bayesian nonparametric learning of how skill is distributed across the mutual fund industry ⋮ A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection ⋮ Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics ⋮ Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility ⋮ Student‐t stochastic volatility model with composite likelihood EM‐algorithm ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility ⋮ Moving average stochastic volatility models with application to inflation forecast ⋮ Bayesian semiparametric multivariate GARCH modeling ⋮ Copula based factorization in Bayesian multivariate infinite mixture models ⋮ Bayesian non-parametric mixtures of GARCH(1,1) models ⋮ Beta-product dependent Pitman-Yor processes for Bayesian inference ⋮ Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models ⋮ Joint reconstruction and prediction\break of random dynamical systems under\break borrowing of strength ⋮ Reinforced urn processes for credit risk models ⋮ Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors ⋮ A Bayesian semiparametric vector multiplicative error model ⋮ Expert information and nonparametric Bayesian inference of rare events ⋮ Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors ⋮ Filtering and estimation for a class of stochastic volatility models with intractable likelihoods ⋮ A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation ⋮ Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture ⋮ Stick-breaking autoregressive processes ⋮ Bayesian Nonparametric Calibration and Combination of Predictive Distributions ⋮ Bayesian semiparametric double autoregressive modeling ⋮ Bayesian nonparametric sparse VAR models ⋮ Volatility prediction based on scheduled macroeconomic announcements ⋮ Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility ⋮ Particle learning for Bayesian semi-parametric stochastic volatility model ⋮ Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model ⋮ Bayesian semiparametric multivariate stochastic volatility with application ⋮ Semiparametric stochastic volatility modelling using penalized splines

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On leverage in a stochastic volatility model
• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
• Smoothly mixing regressions
• A semi-parametric Bayesian approach to the instrumental variable problem
• Stochastic volatility with leverage: fast and efficient likelihood inference
• On a class of Bayesian nonparametric estimates: I. Density estimates
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Semiparametric Bayesian inference for stochastic frontier models
• Posterior convergence rates of Dirichlet mixtures at smooth densities
• Interpretation and inference in mixture models: simple MCMC works
• Bayesian mixture of autoregressive models
• Estimation of stochastic volatility models with diagnostics
• Ferguson distributions via Polya urn schemes
• Nonparametric Bayesian data analysis
• Posterior consistency of Dirichlet mixtures in density estimation
• Semiparametric Bayes analysis of longitudinal data treatment models
• Markov chain Monte Carlo methods for stochastic volatility models.
• Finite mixture and Markov switching models.
• A Bayesian analysis of some nonparametric problems
• Modelling long-term investment returns via Bayesian infinite mixture time series models
• The Calculation of Posterior Distributions by Data Augmentation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Multivariate Stochastic Variance Models
• Likelihood analysis of non-Gaussian measurement time series
• Bayesian Models for Non‐linear Autoregressions
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Bayesian Density Estimation and Inference Using Mixtures
• On nonparametric Bayesian inference for the distribution of a random sample
• A new class of Bayesian semi-parametric models with applications to option pricing
• Semiparametric Bayesian Inference in Autoregressive Panel Data Models
• Order-Based Dependent Dirichlet Processes