Bayesian testing for jumps in stochastic volatility models with correlated jumps

DOI10.1080/14697688.2014.916412zbMath1397.62442OpenAlexW2002657571MaRDI QIDQ5247227

Li Yong, Jie Zhang

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.916412

zbMATH Keywords

stochastic volatilityBayesian statistics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Stochastic models in economics (91B70)

Cites Work

• Bayesian hypothesis testing in latent variable models
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Markov chain Monte Carlo methods for stochastic volatility models.
• A new approach to Bayesian hypothesis testing
• BUGS for a Bayesian analysis of stochastic volatility models
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling

This page was built for publication: Bayesian testing for jumps in stochastic volatility models with correlated jumps