Estimation of the Stochastic Volatility by Markov Chain Monte Carlo

1998 ◽  
pp. 189-203
Author(s):  
Hans Boscher ◽  
Eva-Maria Fronk ◽  
Iris Pigeot
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Stochastic Volatility

scholarly journals Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox

2016 ◽  
Vol 8 (1) ◽  
Author(s):  
Nima Nonejad
Keyword(s):  
Time Series ◽  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Time Series Models ◽  
Unobserved Component ◽  
Volatility Model ◽  
Component Time

AbstractThis paper details particle Markov chain Monte Carlo (PMCMC) techniques for analysis of unobserved component time series models using several economic data sets. The objective of this paper is to explain the basics of the methodology and provide computational applications that justify applying PMCMC in practice. For instance, we use PMCMC to estimate a stochastic volatility model with a leverage effect, Student-t distributed errors or serial dependence. We also model time series characteristics of monthly US inflation rate by considering a heteroskedastic ARFIMA model where heteroskedasticity is specified by means of a Gaussian stochastic volatility process.

Markov chain Monte Carlo methods for stochastic volatility models

2002 ◽  
Vol 108 (2) ◽  
pp. 281-316 ◽  
Author(s):  
Siddhartha Chib ◽  
Federico Nardari ◽  
Neil Shephard
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Stochastic Volatility ◽  
Monte Carlo Methods ◽  
Stochastic Volatility Models ◽  
Volatility Models

On Markov Chain Monte Carlo Acceleration

1994 ◽  
Author(s):  
Alan E. Gelfand ◽  
Sujit K. Sahu
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo
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