Comparison of MCMC methods for estimating stochastic volatility models

DOI10.1007/s10614-005-2974-4zbMath1080.62082OpenAlexW2029906186MaRDI QIDQ816059

Manabu Asai

Publication date: 20 February 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-005-2974-4

Mathematics Subject Classification ID

Related Items (4)

The structure of dynamic correlations in multivariate stochastic volatility models ⋮ Bayesian analysis of stochastic volatility models with mixture-of-normal distributions ⋮ Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility ⋮ Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods

Uses Software

• Ox

Cites Work

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• Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
• Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions
• The simulation smoother for time series models
• A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)

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