Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
DOI10.1016/J.JSPI.2006.07.015zbMATH Open1255.60074OpenAlexW2039148481MaRDI QIDQ997294FDOQ997294
Authors: Matthew P. S. Gander, David A. Stephens 
Publication date: 23 July 2007
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2006.07.015
Recommendations
- Bayesian analysis of stochastic volatility models
- Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
- Bayesian analysis of stochastic volatility models with flexible tails
- Stochastic volatility: likelihood inference and comparison with ARCH models
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Processes with independent increments; Lévy processes (60G51) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Title not available (Why is that?)
- The pricing of options and corporate liabilities
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Title not available (Why is that?)
- A Representation of Independent Increment Processes without Gaussian Components
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Title not available (Why is that?)
- Stochastic Volatility for Lévy Processes
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Modeling and pricing long memory in stock market volatility
- Arbitrage in fractional Brownian motion models
- Arbitrage with Fractional Brownian Motion
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Cramér's estimate for Lévy processes
- BUGS for a Bayesian analysis of stochastic volatility models
- Title not available (Why is that?)
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Itô's formula with respect to fractional Brownian motion and its application
- Title not available (Why is that?)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Long memory vs. structural change in financial time series
- Simulation and inference for stochastic volatility models driven by Levy processes
- Title not available (Why is that?)
Cited In (21)
- Title not available (Why is that?)
- Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model
- Approximating cross-validatory predictive evaluation in Bayesian latent variable models with integrated IS and WAIC
- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- Stochastic volatility models for ordinal-valued time series with application to finance
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
- The continuous-time limit of score-driven volatility models
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Inference procedures for stable-Paretian stochastic volatility models
- Multivariate Wishart stochastic volatility and changes in regime
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- Particle Markov Chain Monte Carlo Methods
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Bayesian parameter inference for partially observed stochastic volterra equations
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
- The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
- The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models
- Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
- Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
Uses Software
This page was built for publication: Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q997294)
