MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.445640 ◽

2003 ◽

Author(s):

Nunzio Cappuccio ◽

Diego Lubian ◽

Davide Raggi

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.07.015 ◽

2012 ◽

Vol 56 (11) ◽

pp. 3674-3689 ◽

Cited By ~ 16

Author(s):

Tsunehiro Ishihara ◽

Yasuhiro Omori

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Multivariate Stochastic Volatility ◽

Heavy Tailed

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MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model

Studies in Nonlinear Dynamics & Econometrics ◽

10.2202/1558-3708.1211 ◽

2004 ◽

Vol 8 (2) ◽

Cited By ~ 8

Author(s):

Nunzio Cappuccio ◽

Diego Lubian ◽

Davide Raggi

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1546389 ◽

2010 ◽

Author(s):

Eric Fung ◽

Ching-Wah Ho ◽

Tak-Kuen Siu ◽

Wing-Keung Wong

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Monte Carlo Method ◽

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Quasi Monte Carlo ◽

Volatility Model

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Bayesian Estimation of Irregular Stochastic Volatility Model for Developed and Emerging Stock Market

Finance & Economics Readings ◽

10.1007/978-981-10-8147-7_3 ◽

2018 ◽

pp. 37-47

Author(s):

Kirti Arekar ◽

Rinku Jain ◽

Surender Kumar

Keyword(s):

Stock Market ◽

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage

Springer Proceedings in Mathematics & Statistics - Bayesian Statistics and New Generations ◽

10.1007/978-3-030-30611-3_8 ◽

2019 ◽

pp. 75-83 ◽

Cited By ~ 2

Author(s):

Darjus Hosszejni ◽

Gregor Kastner

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Bayesian Estimation of a Skew-Student-t Stochastic Volatility Model

Methodology And Computing In Applied Probability ◽

10.1007/s11009-013-9389-9 ◽

2013 ◽

Vol 17 (3) ◽

pp. 721-738 ◽

Cited By ~ 16

Author(s):

C. A. Abanto-Valle ◽

V. H. Lachos ◽

Dipak K. Dey

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Bayesian estimation of the stochastic volatility model with double exponential jumps

Review of Derivatives Research ◽

10.1007/s11147-020-09173-1 ◽

2021 ◽

Author(s):

Jinzhi Li

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Double Exponential

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Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm

Journal of Physics Conference Series ◽

10.1088/1742-6596/490/1/012092 ◽

2014 ◽

Vol 490 ◽

pp. 012092 ◽

Cited By ~ 3

Author(s):

Tetsuya Takaishi

Keyword(s):

Monte Carlo ◽

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Monte Carlo Algorithm ◽

Hybrid Monte Carlo ◽

Volatility Model

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Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2021.1944639 ◽

2021 ◽

pp. 1-18

Author(s):

Feng-Chang Xie ◽

Ya-Yu Shen

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Leverage Effect ◽

Student’S T Distribution ◽

Volatility Model ◽

Student’S T ◽

Student's T Distribution ◽

T Distribution

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Bayesian estimation of an extended local scale stochastic volatility model

Journal of Econometrics ◽

10.1016/j.jeconom.2011.02.022 ◽

2011 ◽

Vol 162 (2) ◽

pp. 369-382 ◽

Cited By ~ 3

Author(s):

Philippe J. Deschamps

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Local Scale ◽

Stochastic Volatility Model ◽

Volatility Model

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