Variable dimension via stochastic volatility model using FX rates

DOI10.1080/02664763.2013.807330OpenAlexW2042591120MaRDI QIDQ5129099

Wantanee Surapaitoolkorn

Publication date: 26 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10.1080/02664763.2013.807330

zbMATH Keywords

MCMCBayesian computationstochastic volatility modelchangepoint analysisFX ratesvariable dimension process

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19

Uses Software

• BUGS
• QRM

Cites Work

• Unnamed Item
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• Statistical methods in finance
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• Markov chain Monte Carlo methods for switching diffusion models
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Elementary Stochastic Calculus, with Finance in View
• Bayesian Retrospective Multiple-Changepoint Identification
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications