Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks

DOI10.1515/snde-2014-0043zbMath1506.91003OpenAlexW3123215024MaRDI QIDQ2687889

Nima Nonejad

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2014-0043

zbMATH Keywords

Bayesstructural breaksparticle filteringancestor sampling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Economic time series analysis (91B84) Stochastic models in economics (91B70) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)

Related Items (3)

A point mass proposal method for Bayesian state-space model fitting ⋮ Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles ⋮ Bayesian Inference for ARFIMA Models

Uses Software

• bvarsv

Cites Work

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