Modelling stochastic volatility using generalizedtdistribution

DOI10.1080/00949655.2011.608067zbMath1348.62250OpenAlexW2068022520MaRDI QIDQ4922633

Joanna J. J. Wang, S. T. Boris Choy, Jennifer So-Kuen Chan

Publication date: 3 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.608067

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carlogeneralized distributionoutlier diagnosticsuniform scale mixture

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stochastic models in economics (91B70) Characterization and structure theory of statistical distributions (62E10)

Related Items (7)

A new filtering inference procedure for a GED state-space volatility model ⋮ Fast computation of the deviance information criterion for latent variable models ⋮ カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について ⋮ Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution ⋮ Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications ⋮ On asymmetric generalised t stochastic volatility models ⋮ Specification tests for time-varying parameter models with stochastic volatility

Uses Software

• WinBUGS
• BUGS

Cites Work

• Hierarchical models with scale mixtures of normal distributions
• Generalized autoregressive conditional heteroscedasticity
• Markov chain Monte Carlo methods for stochastic volatility models.
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• An empirical evaluation of fat-tailed distributions in modeling financial time series
• BUGS for a Bayesian analysis of stochastic volatility models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
• Alternative beta estimation for the market model using partially adaptive techniques
• SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
• The Price Variability-Volume Relationship on Speculative Markets
• Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution
• Bayesian Measures of Model Complexity and Fit

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