Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection

DOI10.1016/J.JSPI.2006.07.015zbMATHOpenAlexMaRDI QIDQ997294FDO

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

zbMATH Keywords

Markov chain Monte Carlomodel selectionstochastic volatilityLévy process

Mathematics Subject Classification ID

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)

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Cited in

(21)

• Multivariate Wishart stochastic volatility and changes in regime
• Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
• Approximating cross-validatory predictive evaluation in Bayesian latent variable models with integrated IS and WAIC
• Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• Bayesian parameter inference for partially observed stochastic volterra equations
• The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes
• Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
• Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
• scientific article; zbMATH DE number 1995731 (Why is no real title available?)
• The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models
• Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
• Particle Markov Chain Monte Carlo Methods
• The continuous-time limit of score-driven volatility models
• Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
• Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
• Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
• Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model
• Stochastic volatility models for ordinal-valued time series with application to finance
• Inference procedures for stable-Paretian stochastic volatility models

Describes a project that uses

Uses Software

• STABLE
• BUGS
• longmemo

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