Bayesian Student-T Stochastic Volatility Models Via Scale Mixtures

SSRN Electronic Journal ◽

10.2139/ssrn.1456822 ◽

2009 ◽

Cited By ~ 1

Author(s):

Boris Choy ◽

Wai Yin Wan ◽

Chun Man Chan

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Scale Mixtures ◽

Volatility Models

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Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.07.008 ◽

2011 ◽

Vol 55 (1) ◽

pp. 852-862 ◽

Cited By ~ 24

Author(s):

Joanna J.J. Wang ◽

Jennifer S.K. Chan ◽

S.T. Boris Choy

Keyword(s):

Stochastic Volatility ◽

Bayesian Approach ◽

Stochastic Volatility Models ◽

Scale Mixtures ◽

Heavy Tailed Distributions ◽

Volatility Models ◽

Heavy Tailed

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Bayesian student-t stochastic volatility models via scale mixtures

Bayesian Econometrics - Advances in Econometrics ◽

10.1016/s0731-9053(08)23019-7 ◽

2008 ◽

pp. 595-618 ◽

Cited By ~ 7

Author(s):

S BORISCHOY ◽

W WAN ◽

C CHAN

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Scale Mixtures ◽

Volatility Models

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Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures

Applied Stochastic Models in Business and Industry ◽

10.1002/asmb.2062 ◽

2014 ◽

Vol 31 (5) ◽

pp. 584-608 ◽

Cited By ~ 8

Author(s):

Nuttanan Wichitaksorn ◽

Joanna J. J. Wang ◽

S. T. Boris Choy ◽

Richard Gerlach

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Scale Mixtures ◽

Uniform Scale ◽

Volatility Models

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Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2009.06.011 ◽

2010 ◽

Vol 54 (12) ◽

pp. 2883-2898 ◽

Cited By ~ 43

Author(s):

C.A. Abanto-Valle ◽

D. Bandyopadhyay ◽

V.H. Lachos ◽

I. Enriquez

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Normal Distributions ◽

Scale Mixtures ◽

Robust Bayesian Analysis ◽

Volatility Models ◽

Heavy Tailed ◽

Mixtures Of Normal Distributions

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Cited By ~ 1

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Cited By ~ 6

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Cited By ~ 1

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Cited By ~ 3

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

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Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Cited By ~ 2

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

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Computing Journal: Stochastic-volatility Models with Optional Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

Author(s):

Anna Pretre ◽

Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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