Modeling volatility using state space models with heavy tailed distributions

DOI10.1016/j.matcom.2015.08.005OpenAlexW1416903861MaRDI QIDQ2228729

Ralph S. Silva, Frank M. de Pinho, Glaura C. Franco

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2015.08.005

zbMATH Keywords

stochastic volatilityBayesian inferencestock price indexnon-Gaussian state space modelclassical inference

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

A new filtering inference procedure for a GED state-space volatility model ⋮ Volatility GARCH models with the ordered weighted average (OWA) operators ⋮ Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions

Uses Software

• FinTS

Cites Work

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