An empirical Bayesian forecast in the threshold stochastic volatility models

DOI10.1080/00949655.2011.620251zbMath1348.62234OpenAlexW2092804384MaRDI QIDQ4922646

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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/10.1080/00949655.2011.620251

zbMATH Keywords

empirical BayesthresholdMCMCstochastic volatility modelVaR

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Uses Software

• RiskMetrics

Cites Work

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• Natural exponential families with quadratic variance functions: Statistical theory
• Statistical decision theory and Bayesian analysis. 2nd ed
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Partial non-Gaussian state space
• Multivariate modelling of the autoregressive random variance process
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Bayesian Measures of Model Complexity and Fit
• Deviance information criteria for missing data models

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