An extension of stochastic volatility model with mixed frequency information

DOI10.1016/J.ECONLET.2017.04.003zbMath1398.91674OpenAlexW2605362726MaRDI QIDQ1673463

Lulu Liu, Yuhuang Shang

Publication date: 12 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.04.003

zbMATH Keywords

stochastic volatilityMonte Carlo experimentMCMC methodunobservable componentmixed-frequency

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Leverage, heavy-tails and correlated jumps in stochastic volatility models
• A simple and efficient simulation smoother for state space time series analysis

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