Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach

DOI10.1016/j.cam.2018.05.036zbMath1460.62166OpenAlexW2803625166WikidataQ129751771 ScholiaQ129751771MaRDI QIDQ724486

A. Hajrajabi, A. R. Yazdanian, Rahman Farnoosh

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.05.036

zbMATH Keywords

stochastic volatilitysemiparametric estimationBayesian estimationsequential Monte Carlo filtering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Nonparametric estimation (62G05) Bayesian inference (62F15) Monte Carlo methods (65C05)

Related Items (2)

Iterative parameter identification algorithms for transformed dynamic rational fraction input-output systems ⋮ Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles

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