BAYESIAN ESTIMATION OF STOCHASTIC VOLATILITY MODEL VIA SCALE MIXTURES DISTRIBUTIONS

Statistics and Finance ◽

10.1142/9781848160156_0011 ◽

2000 ◽

Author(s):

S. T. B. CHOY ◽

C. M. CHAN

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Scale Mixtures ◽

Volatility Model

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Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.07.015 ◽

2012 ◽

Vol 56 (11) ◽

pp. 3674-3689 ◽

Author(s):

Tsunehiro Ishihara ◽

Yasuhiro Omori

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Multivariate Stochastic Volatility ◽

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MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model

Studies in Nonlinear Dynamics & Econometrics ◽

10.2202/1558-3708.1211 ◽

2004 ◽

Vol 8 (2) ◽

Author(s):

Nunzio Cappuccio ◽

Diego Lubian ◽

Davide Raggi

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.445640 ◽

2003 ◽

Author(s):

Nunzio Cappuccio ◽

Diego Lubian ◽

Davide Raggi

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1546389 ◽

2010 ◽

Author(s):

Eric Fung ◽

Ching-Wah Ho ◽

Tak-Kuen Siu ◽

Wing-Keung Wong

Keyword(s):

Monte Carlo ◽

Markov Chain ◽

Monte Carlo Method ◽

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Quasi Monte Carlo ◽

Volatility Model

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Bayesian Estimation of Irregular Stochastic Volatility Model for Developed and Emerging Stock Market

Finance & Economics Readings ◽

10.1007/978-981-10-8147-7_3 ◽

2018 ◽

pp. 37-47

Author(s):

Kirti Arekar ◽

Rinku Jain ◽

Surender Kumar

Keyword(s):

Stock Market ◽

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage

Springer Proceedings in Mathematics & Statistics - Bayesian Statistics and New Generations ◽

10.1007/978-3-030-30611-3_8 ◽

2019 ◽

pp. 75-83 ◽

Author(s):

Darjus Hosszejni ◽

Gregor Kastner

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Bayesian Estimation of a Skew-Student-t Stochastic Volatility Model

Methodology And Computing In Applied Probability ◽

10.1007/s11009-013-9389-9 ◽

2013 ◽

Vol 17 (3) ◽

pp. 721-738 ◽

Author(s):

C. A. Abanto-Valle ◽

V. H. Lachos ◽

Dipak K. Dey

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Bayesian estimation of the stochastic volatility model with double exponential jumps

Review of Derivatives Research ◽

10.1007/s11147-020-09173-1 ◽

2021 ◽

Author(s):

Jinzhi Li

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

Double Exponential

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A Stochastic Volatility Model of Scale Mixtures Using Bayesian Analysis for Stock Index in China

International Journal of Simulation Systems Science & Technology ◽

10.5013/ijssst.a.17.20.02 ◽

2016 ◽

Author(s):

Special Issues Editor

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Stock Index ◽

Scale Mixtures ◽

Volatility Model

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Bayesian estimation of realized stochastic volatility model by Hybrid Monte Carlo algorithm

Journal of Physics Conference Series ◽

10.1088/1742-6596/490/1/012092 ◽

2014 ◽

Vol 490 ◽

pp. 012092 ◽

Author(s):

Tetsuya Takaishi

Keyword(s):

Monte Carlo ◽

Bayesian Estimation ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Monte Carlo Algorithm ◽

Hybrid Monte Carlo ◽

Volatility Model

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