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Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models
Approximate EM Adaptive sampling Delayed rejection Gaussian copula marginallikelihood Markov chain Monte Carlo
2010/3/10
An Markov chain Monte Carlo simulation method based on a two stage delayed
rejection Metropolis-Hastings algorithm is proposed to estimate a factor
multivariate stochastic volatility model. The firs...
The Extended Generalized Inverse Gaussian Distribution for Log-Linear and Stochastic Volatility Models
Inverse Gaussian Distribution Log-Linear Stochastic Volatility Models
2009/9/17
The Extended Generalized Inverse Gaussian Distribution for Log-Linear and Stochastic Volatility Models。
Filtering and estimation in stochastic volatility models with rationally distributed disturbances
stochastic volatility filtering rational probability density function state space realization
2010/4/29
This paper deals with the filtering problem for a class of discrete
time stochastic volatility models in which the disturbances have rational
probability density functions. This includes the Cauchy ...
Estimation errors of the Sharpe ratio for long-memory stochastic volatility models
long memory stochastic volatility Sharpe ratio
2010/4/27
The Sharpe ratio, which is defined as the ratio of the excess expected
return of an investment to its standard deviation, has been widely cited
in the financial literature by researchers and practit...