Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA

DOI10.1080/03610918.2013.790444zbMath1328.62162OpenAlexW2001616494MaRDI QIDQ5252859

Ricardo S. Ehlers, Mauricio Zevallos

Publication date: 3 June 2015

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.790444

zbMATH Keywords

quasi-maximum likelihoodBayesian methodsINLAstochastic volatility models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items

Enhancing the SPDE modeling of spatial point processes with INLA, applied to wildfires. Choosing the best mesh for each database

Uses Software

• R

Cites Work

• Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
• Stochastic Volatility: Origins and Overview
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Multivariate Stochastic Variance Models
• Unnamed Item