Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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Cited in
(only showing first 100 items - show all)- Multivariate time series modeling and classification via hierarchical VAR mixtures
- Bayesian testing for non-linearity in volatility modeling
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- Time series of count data: Modeling, estimation and diagnostics
- Auxiliary mixture sampling with applications to logistic models
- Interpretation and inference in mixture models: simple MCMC works
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
- Deciding between GARCH and stochastic volatility via strong decision rules
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
- Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing
- Detecting periods in which a time series model fails to predict the observed volatility
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- Modeling long memory in stock market volatility
- Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models
- Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density
- Bayesian dynamic probit models for the analysis of longitudinal data
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- State space mixed models for binary responses with scale mixture of normal distributions links
- Characterising economic trends by Bayesian stochastic model specification search
- Multivariate Wishart stochastic volatility and changes in regime
- Realized stochastic volatility with leverage and long memory
- A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
- Sequential Monte Carlo smoothing with parameter estimation
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Time-varying extreme value dependence with application to leading European stock markets
- The impact of EMU on bond yield convergence: evidence from a time-varying dynamic factor model
- Testing for time variation in an unobserved components model for the U.S. economy
- The evolution of U.S. monetary policy: 2000--2007
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Shifts in volatility driven by large stock market shocks
- Fast smoothing in switching approximations of non-linear and non-Gaussian models
- Hierarchical models: local proposal variances for RWM-within-Gibbs and MALA-within-Gibbs
- The split-SV model
- Bayesian estimation of a discrete response model with double rules of sample selection
- Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
- Real-time forecast evaluation of DSGE models with stochastic volatility
- Bayesian estimation of generalized gamma shared frailty model
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
- Gaussian variational approximation with sparse precision matrices
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- Importance sampling from posterior distributions using copula-like approximations
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- On asymmetric generalised t stochastic volatility models
- Spatio-temporal change-point modeling
- Computational advances for and from Bayesian analysis
- Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Notes on financial econometrics
- Portable random number generators.
- Markov chain Monte Carlo methods for stochastic volatility models.
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Bayesian estimation of generalized hyperbolic skewed student GARCH models
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- On the asymptotic validity of a bootstrap method for testing nonnested hypotheses
- Structural evolution of the postwar U.S. economy
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- Incorporating realized quarticity into a realized stochastic volatility model
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Dimension-free Wasserstein contraction of nonlinear filters
- Simple estimators and inference for higher-order stochastic volatility models
- Dynamic regression models for time-ordered functional data
- Dynamic variable selection with spike-and-slab process priors
- Estimation of time-varying autoregressive stochastic volatility models with stable innovations
- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
- Information geometry approach to parameter estimation in hidden Markov model
- Variance reduction for Metropolis-Hastings samplers
- Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange
- Parsimony inducing priors for large scale state-space models
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- A new filtering inference procedure for a GED state-space volatility model
- Data revisions and the effects of monetary policy volatility
- Fast and accurate variational inference for models with many latent variables
- Deviance information criterion for latent variable models and misspecified models
- Stochastic dominance tests
- Reducing the state space dimension in a large TVP-VAR
- Dynamic tail inference with log-Laplace volatility
- A flexible particle Markov chain Monte Carlo method
- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
- McMC estimation of multiscale stochastic volatility models with applications
- A Bayesian semiparametric vector multiplicative error model
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- The horseshoe prior for time-varying parameter VARs and monetary policy
- Monetary transmission in money markets: the not-so-elusive missing piece of the puzzle
- An efficient sampling scheme for dynamic generalized models
- Threshold variable selection of asymmetric stochastic volatility models
- Spatial stochastic volatility for lattice data
- Spatially varying temperature trends in a central California estuary
- Bayesian bandwidth estimation for a semi-functional partial linear regression model with unknown error density
- Structural changes in the US economy: is there a role for monetary policy?
- On the evolution of the monetary policy transmission mechanism
- Hierarchical models and tuning of random walk Metropolis algorithms
- Detection of structural breaks in a time-varying heteroskedastic regression model
- Modified Hamiltonian Monte Carlo for Bayesian inference
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