Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps

DOI10.1080/03610918.2011.589331zbMath1227.62092OpenAlexW2078931516MaRDI QIDQ3102909

Chao Yu, Jing-Xiao Zhang

Publication date: 25 November 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2011.589331

zbMATH Keywords

Monte Carlo Markov chain

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Monte Carlo methods (65C05)

Cites Work

• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Testing for jumps in a discretely observed process
• Autoregressive conditional heteroskedasticity and changes in regime
• Simulated Moments Estimation of Markov Models of Asset Prices
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• On Gibbs sampling for state space models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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