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Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo

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  • AJAY JASRA
  • DAVID A. STEPHENS
  • ARNAUD DOUCET
  • THEODOROS TSAGARIS

Abstract

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Suggested Citation

  • Ajay Jasra & David A. Stephens & Arnaud Doucet & Theodoros Tsagaris, 2011. "Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 38(1), pages 1-22, March.
    • Handle: RePEc:bla:scjsta:v:38:y:2011:i:1:p:1-22
    DOI: j.1467-9469.2010.00723.x
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    Citations

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    Cited by:

    1. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
    2. Ajay Jasra & Kody Law & Carina Suciu, 2020. "Advanced Multilevel Monte Carlo Methods," International Statistical Review, International Statistical Institute, vol. 88(3), pages 548-579, December.
    3. Herbst, Edward & Schorfheide, Frank, 2019. "Tempered particle filtering," Journal of Econometrics, Elsevier, vol. 210(1), pages 26-44.
    4. Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021. "Online estimation of DSGE models," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.
    5. Moffa, Giusi & Kuipers, Jack, 2014. "Sequential Monte Carlo EM for multivariate probit models," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 252-272.
    6. Arnaud Dufays, 2014. "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research 263, National Bank of Belgium.
    7. Yijie Peng & Michael C. Fu & Jian-Qiang Hu, 2016. "Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1393-1411, September.
    8. Sophie Donnet & Stéphane Robin, 2021. "Accelerating Bayesian estimation for network Poisson models using frequentist variational estimates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 858-885, August.
    9. Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.
    10. Arnaud Dufays, 2016. "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, vol. 4(1), pages 1-33, March.
    11. Drew Creal, 2012. "A Survey of Sequential Monte Carlo Methods for Economics and Finance," Econometric Reviews, Taylor & Francis Journals, vol. 31(3), pages 245-296.
    12. P. P. Osei & A. Jasra, 2018. "Estimating option prices using multilevel particle filters," Papers 1806.01734, arXiv.org.
    13. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
    14. Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
    15. Duffield, Samuel & Singh, Sumeetpal S., 2022. "Ensemble Kalman inversion for general likelihoods," Statistics & Probability Letters, Elsevier, vol. 187(C).
    16. Golchi, Shirin & Campbell, David A., 2016. "Sequentially Constrained Monte Carlo," Computational Statistics & Data Analysis, Elsevier, vol. 97(C), pages 98-113.
    17. Gunawan, David & Dang, Khue-Dung & Quiroz, Matias & Kohn, Robert & Tran, Minh-Ngoc, 2019. "Subsampling Sequential Monte Carlo for Static Bayesian Models," Working Paper Series 371, Sveriges Riksbank (Central Bank of Sweden).
    18. Schorfheide, Frank & Mlikota, Marko, 2022. "Sequential Monte Carlo With Model Tempering," CEPR Discussion Papers 17035, C.E.P.R. Discussion Papers.
    19. Speich, Matthias & Dormann, Carsten F. & Hartig, Florian, 2021. "Sequential Monte-Carlo algorithms for Bayesian model calibration – A review and method comparison✰," Ecological Modelling, Elsevier, vol. 455(C).
    20. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    21. Qi Wang & Jos'e E. Figueroa-L'opez & Todd Kuffner, 2019. "Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise," Papers 1909.04853, arXiv.org.
    22. Zhou, Yan, 2015. "vSMC: Parallel Sequential Monte Carlo in C++," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 62(i09).

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