Stochastic volatility with leverage: fast and efficient likelihood inference
From MaRDI portal
Publication:451250
DOI10.1016/j.jeconom.2006.07.008zbMath1247.91207OpenAlexW2127297724MaRDI QIDQ451250
Yasuhiro Omori, Jouchi Nakajima, Siddhartha Chib, Neil Shephard
Publication date: 23 September 2012
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.008
Related Items
Shape-constrained semiparametric additive stochastic volatility models, A Bayesian semiparametric model for volatility with a leverage effect, Intraday Data vs Daily Data to Forecast Volatility in Financial Markets, A new method for sequential learning of states and parameters for state-space models: the particle swarm learning optimization, Skew selection for factor stochastic volatility models, Multivariate stochastic volatility, leverage and news impact surfaces, A dynamic linear model with extended skew-normal for the initial distribution of the state parameter, Realized stochastic volatility with leverage and long memory, A flexible and automated likelihood based framework for inference in stochastic volatility models, A generalised stochastic volatility in mean VAR, A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries, Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage, The structure of dynamic correlations in multivariate stochastic volatility models, Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo, Stochastic tail index model for high frequency financial data with Bayesian analysis, A new filtering inference procedure for a GED state-space volatility model, Testing for time variation in an unobserved components model for the U.S. economy, Shifts in volatility driven by large stock market shocks, Matrix exponential stochastic volatility with cross leverage, Efficient estimation and particle filter for max-stable processes, A simulation smoother for long memory time series with correlated and heteroskedastic additive noise, A non-iterative (trivial) method for posterior inference in stochastic volatility models, Periodic autoregressive stochastic volatility, Sequential Bayesian inference for vector autoregressions with stochastic volatility, Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling, Generalized extreme value distribution with time-dependence using the AR and MA models in state space form, Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors, Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution, High dimensional dynamic stochastic copula models, Estimation and forecasting of long memory stochastic volatility models, Efficient MCMC sampling in dynamic mixture models, Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution, TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES, Horizon-unbiased investment with ambiguity, Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution, Efficient data augmentation techniques for some classes of state space models, MCMC interweaving strategy for estimating stochastic volatility model and its application, Particle rolling MCMC with double-block sampling, Asymmetry in stochastic volatility models with threshold and time-dependent correlation, Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach, Using Survey Information for Improving the Density Nowcasting of U.S. GDP, Bayesian prediction of jumps in large panels of time series data, UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY, Oil-price density forecasts of US GDP, Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications, Unnamed Item, Unnamed Item, An effcient exact Bayesian method for state space models with stochastic volatility, News impact curve for stochastic volatility models, Moving average stochastic volatility models with application to inflation forecast, Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures, Simulated likelihood inference for stochastic volatility models using continuous particle filtering, Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions, Stochastic Filtering Methods in Electronic Trading, Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes, Comparison of asymmetric stochastic volatility models under different correlation structures, Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets, A fast and efficient Markov chain Monte Carlo method for market microstructure model, Particle filters and Bayesian inference in financial econometrics, HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT, The HESSIAN method: highly efficient simulation smoothing, in a nutshell, Leverage, heavy-tails and correlated jumps in stochastic volatility models, Estimating stochastic volatility models using daily returns and realized volatility simultaneously, Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine, Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models, Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models, Parametric and nonparametric models and methods in financial econometrics, Bayesian estimation and stochastic model specification search for dynamic survival models, A flexible mixed-frequency vector autoregression with a steady-state prior, A Bayesian robust chi-squared test for testing simple hypotheses, Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture, Bayesian semiparametric stochastic volatility modeling, Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles, Bayesian estimation of an extended local scale stochastic volatility model, Particle filters for continuous likelihood evaluation and maximisation, A semiparametric stochastic volatility model, On conditional variance estimation in nonparametric regression, Auxiliary mixture sampling with applications to logistic models, Dynamic regression models for time-ordered functional data, Comment on article by Windle and Carvalho, Block sampler and posterior mode estimation for asymmetric stochastic volatility models, Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling, Testing for jumps in the stochastic volatility models, Modeling financial time series based on a market microstructure model with leverage effect, Efficient Semiparametric Bayesian Estimation of Multivariate Discrete Proportional Hazards Model with Random Effects, Simulation-Based Estimation Methods for Financial Time Series Models, Bayesian testing volatility persistence in stochastic volatility models with jumps, Parametric estimation of hidden Markov models by least squares type estimation and deconvolution, Particle learning for Bayesian semi-parametric stochastic volatility model, Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model, Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series, Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach, Bayesian analysis of multivariate stochastic volatility with skew return distribution, A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks, Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- On leverage in a stochastic volatility model
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Bayesian forecasting and dynamic models.
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Statistical methods in finance
- Alternative models for stock price dynamics.
- Markov chain Monte Carlo methods for stochastic volatility models.
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Sequential Monte Carlo Methods in Practice
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Marginal Likelihood from the Gibbs Output
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Partial non-Gaussian state space
- Multivariate Stochastic Variance Models
- On Gibbs sampling for state space models
- A simple and efficient simulation smoother for state space time series analysis
- Nonlinear State-Space Models With State-Dependent Variances
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Filtering via Simulation: Auxiliary Particle Filters
- Statistical algorithms for models in state space using SsfPack 2.2
- Marginal Likelihood From the Metropolis–Hastings Output
- Stochastic Volatility for Lévy Processes
- Financial Modelling with Jump Processes
- The simulation smoother for time series models
- Time Varying Structural Vector Autoregressions and Monetary Policy
- Remarks on a Multivariate Transformation
