Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models

Mark J. Jensen

doi:10.1111/j.1467-9892.2004.00384.x

Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2004.00384.x ◽

2004 ◽

Vol 25 (6) ◽

pp. 895-922 ◽

Cited By ~ 33

Author(s):

Mark J. Jensen

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Semiparametric Bayesian Inference

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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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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 ◽

Cited By ~ 2

Author(s):

Shelton Peiris ◽

Manabu Asai ◽

Michael McAleer

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Models ◽

Volatility Models

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Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbg017 ◽

2003 ◽

Vol 1 (3) ◽

pp. 420-444 ◽

Cited By ~ 3

Author(s):

A. Perez

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Models ◽

Nonlinear Transformations ◽

Volatility Models

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Estimation of the long memory parameter in stochastic volatility models by quadratic variations

Random Operators and Stochastic Equations ◽

10.1515/rose.2011.012 ◽

2011 ◽

Vol 19 (2) ◽

Author(s):

Ionuţ Florescu ◽

Ciprian A. Tudor

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Quadratic Variations ◽

Memory Parameter

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A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2009.02.026 ◽

2009 ◽

Vol 53 (10) ◽

pp. 3593-3600 ◽

Cited By ~ 6

Author(s):

Ana Pérez ◽

Esther Ruiz ◽

Helena Veiga

Keyword(s):

Stochastic Volatility ◽

Long Memory ◽

Leverage Effect ◽

Stochastic Volatility Models ◽

Volatility Models

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Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models

Brazilian Review of Econometrics ◽

10.12660/bre.v27n22007.1526 ◽

2007 ◽

Vol 27 (2) ◽

pp. 223

Author(s):

Rosemeire O. Ferraz ◽

Luiz K. Hotta

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Stochastic Volatility ◽

Long Memory ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Quasi Maximum Likelihood

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Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.739790 ◽

2004 ◽

Cited By ~ 5

Author(s):

Roberto Casarin

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Markov Switching ◽

Stochastic Volatility Models ◽

Volatility Models

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Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein–Uhlenbeck processes

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2009.06.008 ◽

2010 ◽

Vol 54 (11) ◽

pp. 2594-2608 ◽

Cited By ~ 10

Author(s):

J.E. Griffin ◽

M.F.J. Steel

Keyword(s):

Bayesian Inference ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Non Gaussian

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Bayesian estimation and the application of long memory stochastic volatility models

Statistical Methodology ◽

10.1016/j.stamet.2006.01.001 ◽

2006 ◽

Vol 3 (4) ◽

pp. 483-489 ◽

Cited By ~ 1

Author(s):

Lixia Xu ◽

Cihua Liu ◽

Gaoqin Nie

Keyword(s):

Bayesian Estimation ◽

Stochastic Volatility ◽

Long Memory ◽

Stochastic Volatility Models ◽

Volatility Models

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