Comparison of MCMC methods for estimating stochastic volatility models

DOI10.1007/S10614-005-2974-4zbMATH Open1080.62082OpenAlexW2029906186MaRDI QIDQ816059FDOQ816059

Authors: Manabu Asai 

Publication date: 20 February 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-005-2974-4

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Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Markov chain Monte Carlo methods for stochastic volatility models.
• Markov chains for exploring posterior distributions. (With discussion)
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Partial non-Gaussian state space
• Likelihood analysis of non-Gaussian measurement time series
• Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions
• The simulation smoother for time series models
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Title not available (Why is that?)
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• The structure of dynamic correlations in multivariate stochastic volatility models
• Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
• A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)

Cited In (16)

• The application of improved Markov chain Monte Carlo method in liquidity management of commercial banks
• Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
• MCMC maximum likelihood for latent state models
• Title not available (Why is that?)
• Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
• The structure of dynamic correlations in multivariate stochastic volatility models
• Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
• Riemann manifold Langevin methods on stochastic volatility estimation
• Comparison methods for stochastic models and risks
• Comparison of MCMC Methods for Estimating GARCH Models
• Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Comparing stochastic volatility specifications for large Bayesian VARs
• Parameterisation and efficient MCMC estimation of non-Gaussian state space models
• Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models

Uses Software

• Ox

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