A semiparametric stochastic volatility model

DOI10.1016/j.jeconom.2011.09.029zbMath1441.62909OpenAlexW2143100759MaRDI QIDQ738174

Jun Yu

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1268

zbMATH Keywords

splineleverage effectsimulated maximum likelihoodLaplace approximation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (11)

Shape-constrained semiparametric additive stochastic volatility models ⋮ Horizon-unbiased investment with ambiguity ⋮ A triple-threshold leverage stochastic volatility model ⋮ Outliers and misleading leverage effect in asymmetric GARCH-type models ⋮ Maximum likelihood estimation of partially observed diffusion models ⋮ Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models ⋮ On idiosyncratic stochasticity of financial leverage effects ⋮ Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book ⋮ Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture ⋮ A new approach to Bayesian hypothesis testing ⋮ Data cloning estimation for asymmetric stochastic volatility models

Uses Software

• R2WinBUGS
• SemiPar
• BUGS

Cites Work

• Unnamed Item
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