Bayesian Analysis of a Markov Switching Stochastic Volatility Model

JOURNAL OF THE JAPAN STATISTICAL SOCIETY ◽

10.14490/jjss.35.205 ◽

2005 ◽

Vol 35 (2) ◽

pp. 205-219 ◽

Author(s):

Mai Shibata ◽

Toshiaki Watanabe

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Markov Switching ◽

Stochastic Volatility Model ◽

Volatility Model

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Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

SSRN Electronic Journal ◽

10.2139/ssrn.275500 ◽

2001 ◽

Author(s):

Eric Jacquier ◽

Nick Polson ◽

Peter E. Rossi

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Leverage Effect ◽

Fat Tails ◽

Volatility Model

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A Stochastic Volatility Model with Markov Switching

Journal of Business and Economic Statistics ◽

10.2307/1392580 ◽

1998 ◽

Vol 16 (2) ◽

pp. 244 ◽

Author(s):

Mike K. P. So ◽

K. Lam ◽

W. K. Li

Keyword(s):

Stochastic Volatility ◽

Markov Switching ◽

Stochastic Volatility Model ◽

Volatility Model

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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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A Stochastic Volatility Model With Markov Switching

Journal of Business and Economic Statistics ◽

10.1080/07350015.1998.10524758 ◽

1998 ◽

Vol 16 (2) ◽

pp. 244-253 ◽

Author(s):

Mike EC. P. So ◽

K. Lam ◽

W. K. Li

Keyword(s):

Stochastic Volatility ◽

Markov Switching ◽

Stochastic Volatility Model ◽

Volatility Model

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The Methods Bayesian Analysis of the Threshold Stochastic Volatility Model

2018 IEEE Second International Conference on Data Stream Mining & Processing (DSMP) ◽

10.1109/dsmp.2018.8478474 ◽

2018 ◽

Author(s):

Peter Bidyuk ◽

Aleksandr Gozhyj ◽

Zdislaw Szymanski ◽

Irina Kalinina ◽

Volodymyr Beglytsia

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2011.589331 ◽

2011 ◽

Vol 40 (10) ◽

pp. 1613-1626 ◽

Author(s):

Chao Yu ◽

Jingxiao Zhang

Keyword(s):

Stochastic Volatility ◽

Bayesian Approach ◽

Markov Switching ◽

Stochastic Volatility Model ◽

Volatility Model

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Bayesian Filtering for Markov Switching Stochastic Volatility Model with Heavy Tails

2009 International Conference on Management and Service Science ◽

10.1109/icmss.2009.5303868 ◽

2009 ◽

Author(s):

Huiming Zhu ◽

Liya Hao

Keyword(s):

Stochastic Volatility ◽

Heavy Tails ◽

Markov Switching ◽

Stochastic Volatility Model ◽

Bayesian Filtering ◽

Volatility Model

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Bayesian Analysis of a Threshold Stochastic Volatility Model

Journal of Forecasting ◽

10.1002/for.2397 ◽

2016 ◽

Vol 35 (5) ◽

pp. 462-476 ◽

Author(s):

Tony S. Wirjanto ◽

Adam W. Kolkiewicz ◽

Zhongxian Men

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model

Journal of Economics and Finance ◽

10.1007/s12197-009-9086-2 ◽

2009 ◽

Vol 35 (2) ◽

pp. 123-148 ◽

Author(s):

Petra Fleischer ◽

Ross Maller ◽

Gernot Müller

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Market Information ◽

Volatility Model ◽

Multivariate Stochastic Volatility ◽

Information Linkages

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Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model

Econometric Reviews ◽

10.1080/07474930600712897 ◽

2006 ◽

Vol 25 (2-3) ◽

pp. 425-451 ◽

Author(s):

Michael Smith ◽

Andrew Pitts

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Foreign Exchange ◽

Stochastic Volatility Model ◽

Foreign Exchange Intervention ◽

Volatility Model ◽

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