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Bayesian Semiparametric Stochastic Volatility Modeling · Study

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PreprintBayesian Semiparametric Stochastic Volatility Modeling

Mark J. Jensen2008

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Preprintgreen2008

Bayesian Semiparametric Stochastic Volatility Modeling

Mark J. Jensen · John M. Maheu

27 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1997Empirical Performance of Alternative Option Pricing Models 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2003The Impact of Jumps in Volatility and Returns 1994Multivariate Stochastic Variance Models 2002Bayesian Analysis of Stochastic Volatility Models 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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2012A Bayesian semiparametric model for volatility with a leverage effect 2014On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14

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Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1151239

openalex_workW1523330956

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