Long memory stochastic volatility : A bayesian approach

Communication in Statistics- Theory and Methods ◽

10.1080/03610920008832549 ◽

2000 ◽

Vol 29 (5-6) ◽

pp. 1367-1378 ◽

Author(s):

Ngai Hang Chan ◽

Giovanni Petris

Keyword(s):

Stochastic Volatility ◽

Bayesian Approach ◽

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Volatility Forecasting and Explanatory Variables: A Tractable Bayesian Approach to Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1747945 ◽

2012 ◽

Author(s):

Christian Dorion ◽

Nicolas Chapados

Keyword(s):

Stochastic Volatility ◽

Bayesian Approach ◽

Volatility Forecasting ◽

Explanatory Variables

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The tail empirical process for long memory stochastic volatility models with leverage

Electronic Journal of Statistics ◽

10.1214/19-ejs1595 ◽

2019 ◽

Vol 13 (2) ◽

pp. 3453-3484

Author(s):

Clémonell Bilayi-Biakana ◽

Gail Ivanoff ◽

Rafał Kulik

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Empirical Process ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Tail Empirical Process

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Time Series Mean Level and Stochastic Volatility Modeling by Smooth Transition Autoregressions: A BAYESIAN Approach

Advances in Econometrics - Econometric Analysis of Financial and Economic Time Series ◽

10.1016/s0731-9053(05)20028-2 ◽

2005 ◽

pp. 225-238

Author(s):

Hedibert Freitas Lopes ◽

Esther Salazar

Keyword(s):

Time Series ◽

Stochastic Volatility ◽

Bayesian Approach ◽

Smooth Transition ◽

Volatility Modeling

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Long memory and regime switching in the stochastic volatility modelling

Annals of Operations Research ◽

10.1007/s10479-020-03841-z ◽

2020 ◽

Author(s):

Yanlin Shi

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Regime Switching

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Estimation of Short- and Long-Term VaR for Long-Memory Stochastic Volatility Models

Handbook of Quantitative Finance and Risk Management ◽

10.1007/978-0-387-77117-5_95 ◽

2010 ◽

pp. 1409-1415

Author(s):

Hwai-Chung Ho ◽

Fang-I Liu

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Short And Long Term

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Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Journal of Risk and Financial Management ◽

10.3390/jrfm10040023 ◽

2017 ◽

Vol 10 (4) ◽

pp. 23 ◽

Author(s):

Shelton Peiris ◽

Manabu Asai ◽

Michael McAleer

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Models ◽

Volatility Models

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Stochastic volatility and option pricing with long-memory in discrete and continuous time

Quantitative Finance ◽

10.1080/14697688.2012.664939 ◽

2012 ◽

Vol 12 (4) ◽

pp. 635-649 ◽

Author(s):

Alexandra Chronopoulou ◽

Frederi G. Viens

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Continuous Time ◽

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Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods

Statistics & Probability Letters ◽

10.1016/j.spl.2019.108600 ◽

2020 ◽

Vol 156 ◽

pp. 108600

Author(s):

Milan Merkle ◽

Yuri F. Saporito ◽

Rodrigo S. Targino

Keyword(s):

Fourier Transform ◽

Parameter Estimation ◽

Stochastic Volatility ◽

Bayesian Approach ◽

Continuous Time ◽

Stochastic Volatility Models ◽

Transform Methods ◽

Volatility Models ◽

Fourier Transform Methods

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Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends

Journal of Time Series Analysis ◽

10.1111/jtsa.12012 ◽

2013 ◽

Vol 34 (3) ◽

pp. 285-301 ◽

Author(s):

Adam McCloskey

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Model ◽

Model Parameters ◽

Volatility Model ◽

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The tail empirical process for long memory stochastic volatility sequences

Stochastic Processes and their Applications ◽

10.1016/j.spa.2010.09.001 ◽

2011 ◽

Vol 121 (1) ◽

pp. 109-134 ◽

Author(s):

Rafał Kulik ◽

Philippe Soulier

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Empirical Process ◽

Tail Empirical Process

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