A semiparametric stochastic volatility model
type: Item
instance of: scholarly article
title: A semiparametric stochastic volatility model
zbMATH Open document ID: 1441.62909
author: Jun Yu
published in: Journal of Econometrics
publication date: 2016-08-15T00:00:00Z
full work available at URL: https://ink.library.smu.edu.sg/soe_research/1268
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6617076
zbMATH Keywords: leverage effect
zbMATH Keywords: simulated maximum likelihood
zbMATH Keywords: Laplace approximation
zbMATH Keywords: spline
describes a project that uses: BUGS
describes a project that uses: SemiPar
describes a project that uses: R2WinBUGS
MaRDI profile type: Publication
OpenAlex ID: W2143100759
cites work: The Distribution of Realized Exchange Rate Volatility
cites work: Asymmetric Multivariate Stochastic Volatility
cites work: The structure of dynamic correlations in multivariate stochastic volatility models
cites work: Time-varying leverage effects
cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
cites work: Marginal Likelihood from the Gibbs Output
cites work: Consistency of the maximum likelihood estimator for general hidden Markov models
cites work: THE GARCH OPTION PRICING MODEL
cites work: Monte Carlo maximum likelihood estimation for non-Gaussian state space models
cites work: Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
cites work: Simulation Run Length Control in the Presence of an Initial Transient
cites work: Q5726065
cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
cites work: Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
cites work: BUGS for a Bayesian analysis of stochastic volatility models
cites work: Semiparametric Estimator of Time Series Conditional Variance
cites work: ARCH models as diffusion approximations
cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach
cites work: Stochastic volatility with leverage: fast and efficient likelihood inference
cites work: Efficient high-dimensional importance sampling
cites work: Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
cites work: Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
cites work: Semiparametric Regression
cites work: Likelihood analysis of non-Gaussian measurement time series
cites work: The Calculation of Posterior Distributions by Data Augmentation
cites work: Volume, volatility, and leverage: A dynamic analysis
cites work: Asymptotic nonequivalence of GARCH models and diffusions
cites work: On leverage in a stochastic volatility model
DOI: 10.1016/J.JECONOM.2011.09.029
Recommended article: Semiparametric multivariate volatility models
Recommended article: A Semiparametric Model of Estimating Volatility of Diffusion Processes
Recommended article: Bayesian semiparametric stochastic volatility modeling
Recommended article: Semiparametric score driven volatility models
Recommended article: Semiparametric modeling of implied volatility.
Recommended article: Semiparametric stochastic volatility modelling using penalized splines
Recommended article: Q4459831
Recommended article: Nonparametric estimation of stochastic volatility models
Recommended article: Parameter Estimation in Stochastic Volatility Models
Recommended article: Q3457552
description: scientific article; zbMATH DE number 6617076