Stochastic volatility: likelihood inference and comparison with ARCH models

MaRDI QIDQ3374316zbMATH OpenFDO

Authors Sangjoon Kim, Siddhartha Chib, Neil Shephard

Publication date 9 March 2006

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40)

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(22)

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• GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
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• Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
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• Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
• The hierarchical-likelihood approach to autoregressive stochastic volatility models
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• Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
• On improved volatility modelling by fitting skewness in ARCH models
• ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models
• Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
• Inference methods for stochastic volatility models
• Likelihood-based inference for asymmetric stochastic volatility models
• Comparing stochastic volatility models through Monte Carlo simulations
• Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection

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