Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models

Keywords

Stochastic volatility, Econometrics, Bayesian probability, Inference, Markov chain

References

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• MCMC and EM-based methods for inference in heavy-tailed processes with /spl alpha/-stable innovationsSimon Godsill — 1999
• Bayesian Forecasting and Dynamic Models (2nd edn)F P Wheeler — 1997
• A maximum likelihood approach for non-Gaussian stochastic volatility modelsMoshe Fridman, Lawrence Harris — 1998
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• Monte Carlo maximum likelihood estimation for non-Gaussian state space modelsJ. Durbin — 1997
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• Multivariate modelling of the autoregressive random variance processMike K. P. So, Wanxin Li, K. Lam — 1997
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• Stable Non-Gaussian Random Processes : Stochastic Models with Infinite VarianceGennady Samorodnitsky, Murad S. Taqqu — 1995
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood EstimatorChristian Francq, Michel Roussignol — 1998
• Likelihood analysis of non-Gaussian measurement time seriesNeil Shephard — 1997
• A Stochastic Volatility Model With Markov SwitchingMike EC. P. So, K. Lam, W. K. Li — 1998
• Sequential Monte Carlo Methods in PracticePradipta Sarkar — 2003

Cited by

• Approximate inference in state space models with intractable likelihoods using Gaussian process optimisationJohan Dahlin, Thomas B. Schön, Mattias Villani — 2014
• Markov Switching in Stochastic Variance : Bayesian Comparision of Two Simple ModelsŁukasz Kwiatkowski — 2009
• Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility FrameworkŁukasz Kwiatkowski — 2010
• Bayesian Monte Carlo Filtering for Stochastic Volatility ModelsRoberto Casarin — 2004
• Bayesian Inference on Dynamic Models with Latent FactorsMonica Billio, Roberto Casarin, Domenico Sartore — 2007
• Volatility Transmission Models: A SurveyPilar Soriano, Francisco Climent — 2006
• Accurate Methods for Approximate Bayesian Computation FilteringLaurent E. Calvet, Veronika Czellar — 2015
• Sequential Monte Carlo for inference in nonlinear state space modelsJohan Dahlin — 2014
• Indirect estimation of alpha-stable stochastic volatility modelsM. Lombardi, Giorgio Calzolari — 2009
• Simulation methods for nonlinear and non-gaussian models in financeRoberto Casarin — 2004
• Accelerating Monte Carlo methods for Bayesian inference in dynamical modelsJohan Dahlin — 2016
• Transformations in semi-parametric Bayesian synthetic likelihoodJacob W. Priddle, Christopher Drovandi — 2020
• Estimation of time-varying autoregressive stochastic volatility models with stable innovationsGernot Müller, Sebastian Uhl — 2021
• On the Markov-switching autoregressive stochastic volatility processesAhmed Ghezal, Imane Zemmouri — 2023
• Markov-switching threshold stochastic volatility models with regime changesAhmed Ghezal, Mohamed Balegh, Imane Zemmouri — 2024
• Asymmetric stable stochastic volatility models: estimation, filtering, and forecastingFrancisco Blasques, Siem Jan Koopman, Karim Moussa — 2024
• Signal Extraction by the Extremum Monte Carlo MethodKarim Moussa — 2024
• Simulation methods for nonlinear and non-gaussian models in financeRoberto Casarin — 2004
• Efficient and flexible Bayesian synthetic likelihood via transformationsJacob W. Priddle — 2020
• Indirect estimation of α-stable stochastic volatility modelsMarco J. Lombardi — 2005

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