Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
From MaRDI portal
Publication:496964
DOI10.1007/s11009-013-9389-9zbMath1327.62128OpenAlexW2031317943MaRDI QIDQ496964
Victor Hugo Lachos, Dey, Dipak K., Carlos A. Abanto-Valle
Publication date: 23 September 2015
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-013-9389-9
stochastic volatilityMarkov chain Monte Carlovalue-at-risknon-Gaussian and nonlinear state space modelsskew-Student-\(t\)
Bayesian inference (62F15) Continuous-time Markov processes on general state spaces (60J25) Nonlinear ordinary differential equations and systems (34A34)
Related Items
Skew selection for factor stochastic volatility models ⋮ A variational Bayesian approach for inverse problems with skew-\(t\) error distributions ⋮ Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation ⋮ A new filtering inference procedure for a GED state-space volatility model ⋮ Bayesian estimation for stochastic volatility model with jumps, leverage effect and generalized hyperbolic skew Student's t-distribution ⋮ An Extensive Comparison of Some Well‐Established Value at Risk Methods ⋮ Bayesian estimation for the threshold stochastic volatility model with generalized hyperbolic skew Student’s t distribution ⋮ An overview of skew distributions in model-based clustering ⋮ Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach ⋮ Data cloning estimation for asymmetric stochastic volatility models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On generalised asymmetric stochastic volatility models
- Stochastic volatility in mean models with heavy-tailed distributions
- Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian inference for the skewness parameter of the scalar skew-normal distribution
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Markov chain Monte Carlo methods for stochastic volatility models.
- Markov chains for exploring posterior distributions. (With discussion)
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Bayesian nonparametric modelling of the return distribution with stochastic volatility
- MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
- Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
- Objective Bayesian analysis for the Student-t regression model
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Autoregressive Conditional Density Estimation
- On Gibbs sampling for state space models
- Likelihood analysis of non-Gaussian measurement time series
- Filtering via Simulation: Auxiliary Particle Filters
- Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
- Disturbance smoother for state space models
- The simulation smoother for time series models
- Robust Linear Mixed Models with Normal/Independent Distributions and Bayesian MCMC Implementation
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
- A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
- The Skew-normal Distribution and Related Multivariate Families*
- A general class of multivariate skew-elliptical distributions
