Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.739790 ◽

2004 ◽

Cited By ~ 5

Author(s):

Roberto Casarin

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models

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Simulation-based sequential analysis of Markov switching stochastic volatility models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2006.07.019 ◽

2007 ◽

Vol 51 (9) ◽

pp. 4526-4542 ◽

Cited By ~ 61

Author(s):

Carlos M. Carvalho ◽

Hedibert F. Lopes

Keyword(s):

Stochastic Volatility ◽

Sequential Analysis ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Simulation Based

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Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2004.00384.x ◽

2004 ◽

Vol 25 (6) ◽

pp. 895-922 ◽

Cited By ~ 33

Author(s):

Mark J. Jensen

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Semiparametric Bayesian Inference

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Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein–Uhlenbeck processes

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2009.06.008 ◽

2010 ◽

Vol 54 (11) ◽

pp. 2594-2608 ◽

Cited By ~ 10

Author(s):

J.E. Griffin ◽

M.F.J. Steel

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Non Gaussian

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Bayesian Inference for Leverage Stochastic Volatility Models Using FX Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2084789 ◽

2012 ◽

Author(s):

Wantanee Surapaitoolkorn

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Particle Filters for Markov Switching Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2163902 ◽

2012 ◽

Cited By ~ 1

Author(s):

Yun Bao ◽

Carl Chiarella ◽

Boda Kang

Keyword(s):

Stochastic Volatility ◽

Particle Filters ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models

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Bayesian Inference in Spatial Stochastic Volatility Models with an Application to House Price Returns in Chicago

SSRN Electronic Journal ◽

10.2139/ssrn.3104611 ◽

2018 ◽

Author(s):

Suleyman Taspinar ◽

Osman Dogan ◽

Anil K. Bera

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

House Price ◽

Stochastic Volatility Models ◽

Volatility Models

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Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

Journal of Computational and Graphical Statistics ◽

10.1080/10618600.2017.1322091 ◽

2017 ◽

Vol 26 (4) ◽

pp. 905-917 ◽

Cited By ~ 28

Author(s):

Gregor Kastner ◽

Sylvia Frühwirth-Schnatter ◽

Hedibert Freitas Lopes

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Bayesian Inference in Spatial Stochastic Volatility Models: An Application to House Price Returns in Chicago

Oxford Bulletin of Economics and Statistics ◽

10.1111/obes.12425 ◽

2021 ◽

Author(s):

Süleyman Taşpӏnar ◽

Osman Doğan ◽

Jiyoung Chae ◽

Anil K. Bera

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

House Price ◽

Stochastic Volatility Models ◽

Volatility Models

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The Extended Liu and West Filter: Parameter Learning in Markov Switching Stochastic Volatility Models

State-Space Models ◽

10.1007/978-1-4614-7789-1_2 ◽

2013 ◽

pp. 23-61 ◽

Cited By ~ 7

Author(s):

Maria Paula Rios ◽

Hedibert Freitas Lopes

Keyword(s):

Stochastic Volatility ◽

Markov Switching ◽

Parameter Learning ◽

Stochastic Volatility Models ◽

Filter Parameter ◽

Volatility Models

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Bayesian inference for stochastic volatility models using the generalized skew-$t$ distribution with applications to the Shenzhen Stock Exchange returns

Statistics and Its Interface ◽

10.4310/sii.2014.v7.n4.a6 ◽

2014 ◽

Vol 7 (4) ◽

pp. 487-502

Author(s):

Carlos A. Abanto-Valle ◽

Caifeng Wang ◽

Xiaojing Wang ◽

Fei-Xing Wang ◽

Ming-Hui Chen

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Stock Exchange ◽

Stochastic Volatility Models ◽

Volatility Models ◽

T Distribution

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