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Bayesian semiparametric stochastic volatility modeling

Citations

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Cited by:

  1. Dimitrakopoulos, Stefanos, 2017. "Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility," Economics Letters, Elsevier, vol. 150(C), pages 10-14.
  2. Ng, Jason & Forbes, Catherine S. & Martin, Gael M. & McCabe, Brendan P.M., 2013. "Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 411-430.
  3. Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
  4. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
  5. repec:rim:rimwps:18-12 is not listed on IDEAS
  6. Burda, Martin & Prokhorov, Artem, 2014. "Copula based factorization in Bayesian multivariate infinite mixture models," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 200-213.
  7. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  8. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2016. "A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
  9. Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2024. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," Finance Research Letters, Elsevier, vol. 67(PB).
  10. 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.
  11. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2011. "Beta-product Poisson-Dirichlet Processes," DES - Working Papers. Statistics and Econometrics. WS 12160, Universidad Carlos III de Madrid. Departamento de Estadística.
  12. Donelli, Nicola & Peluso, Stefano & Mira, Antonietta, 2021. "A Bayesian semiparametric vector Multiplicative Error Model," Computational Statistics & Data Analysis, Elsevier, vol. 161(C).
  13. Roberto León-González, 2019. "Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(8), pages 899-920, September.
  14. Griffin, J.E. & Steel, M.F.J., 2011. "Stick-breaking autoregressive processes," Journal of Econometrics, Elsevier, vol. 162(2), pages 383-396, June.
  15. Delatola, E.-I. & Griffin, J.E., 2013. "A Bayesian semiparametric model for volatility with a leverage effect," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 97-110.
  16. Fisher, Mark & Jensen, Mark J., 2022. "Bayesian nonparametric learning of how skill is distributed across the mutual fund industry," Journal of Econometrics, Elsevier, vol. 230(1), pages 131-153.
  17. Fisher, Mark & Jensen, Mark J., 2019. "Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
  18. Jinguan Lin & Yizhi Mao & Hongxia Hao & Guangying Liu, 2025. "Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect," Mathematics, MDPI, vol. 13(9), pages 1-26, May.
  19. Richard Gerlach & Zudi Lu & Hai Huang, 2013. "Exponentially Smoothing the Skewed Laplace Distribution for Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 534-550, September.
  20. Raanju R. Sundararajan & Wagner Barreto‐Souza, 2023. "Student‐t stochastic volatility model with composite likelihood EM‐algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 125-147, January.
  21. Maria Kalli & Jim Griffin, 2015. "Flexible Modeling of Dependence in Volatility Processes," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 102-113, January.
  22. Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022. "Forecasting US Inflation Using Bayesian Nonparametric Models," Working Papers 22-05, Federal Reserve Bank of Cleveland.
  23. Gao, Wang & He, Miao & Zhang, Hongwei, 2025. "Risk connectedness and portfolios between fossil energy, new energy and environmental governance markets," International Review of Financial Analysis, Elsevier, vol. 104(PA).
  24. Federico Bassetti & Roberto Casarin & Marco Del Negro, 2022. "A Bayesian Approach to Inference on Probabilistic Surveys," Staff Reports 1025, Federal Reserve Bank of New York.
  25. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
  26. Darjus Hosszejni & Gregor Kastner, 2019. "Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol," Papers 1906.12123, arXiv.org, revised Feb 2021.
  27. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
  28. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  29. Frank C. Z. Wu, 2024. "Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 697-704, June.
  30. Wang, Nianling & Lou, Zhusheng, 2023. "Sequential Bayesian analysis for semiparametric stochastic volatility model with applications," Economic Modelling, Elsevier, vol. 123(C).
  31. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
  32. Shang, Yuhuang & Zheng, Tingguo, 2021. "Mixed-frequency SV model for stock volatility and macroeconomics," Economic Modelling, Elsevier, vol. 95(C), pages 462-472.
  33. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  34. Ausín, M. Concepción & Galeano, Pedro & Ghosh, Pulak, 2014. "A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation," European Journal of Operational Research, Elsevier, vol. 232(2), pages 350-358.
  35. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014. "Beta-product dependent Pitman–Yor processes for Bayesian inference," Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
  36. Li, Chenxing & Yang, Qiao, 2025. "An infinite hidden Markov model with GARCH for short-term interest rates," Finance Research Letters, Elsevier, vol. 80(C).
  37. Burda, Martin & Harding, Matthew & Hausman, Jerry, 2008. "A Bayesian mixed logit-probit model for multinomial choice," Journal of Econometrics, Elsevier, vol. 147(2), pages 232-246, December.
  38. Martina Danielova Zaharieva & Mark Trede & Bernd Wilfling, 2017. "Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements," CQE Working Papers 6217, Center for Quantitative Economics (CQE), University of Muenster.
  39. Chan, Joshua C.C., 2013. "Moving average stochastic volatility models with application to inflation forecast," Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
  40. Mark J. Jensen & John M. Maheu, 2018. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, vol. 11(3), pages 1-29, September.
  41. Jim Griffin & Maria Kalli & Mark Steel, 2018. "Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(2), pages 207-218, June.
  42. Gunawan, David & Kohn, Robert & Tran, Minh Ngoc, 2025. "Flexible and Robust Particle Tempering for State Space Models," Econometrics and Statistics, Elsevier, vol. 33(C), pages 35-55.
  43. Huang, Shirley J. & Yu, Jun, 2010. "Bayesian analysis of structural credit risk models with microstructure noises," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2259-2272, November.
  44. Chenxing Li & John M. Maheu & Qiao Yang, 2024. "An infinite hidden Markov model with stochastic volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2187-2211, September.
  45. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
  46. Osei K. Tweneboah & Kwesi A. Ohene-Obeng & Maria C. Mariani, 2024. "Characterization and Prediction of the Ghana Stock Exchange Composite Index Utilizing Bayesian Stochastic Volatility Models," Risks, MDPI, vol. 13(1), pages 1-17, December.
  47. Roland Langrock & Théo Michelot & Alexander Sohn & Thomas Kneib, 2015. "Semiparametric stochastic volatility modelling using penalized splines," Computational Statistics, Springer, vol. 30(2), pages 517-537, June.
  48. Omar Abbara & Mauricio Zevallos, 2022. "Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models," Econometrics, MDPI, vol. 11(1), pages 1-18, December.
  49. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2018. "Bayesian Nonparametric Calibration and Combination of Predictive Distributions," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 675-685, April.
  50. Jensen Mark J., 2016. "Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 455-475, September.
  51. Zu, Yang & Boswijk, H. Peter, 2017. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 53-75.
  52. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers 2016:20, Department of Economics, University of Venice "Ca' Foscari".
  53. Cem Çakmakli, 2012. "Bayesian Semiparametric Dynamic Nelson-Siegel Model," Working Paper series 59_12, Rimini Centre for Economic Analysis, revised Sep 2012.
  54. Casarin Roberto & Peruzzi Antonio, 2024. "A Dynamic Latent-Space Model for Asset Clustering," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 379-402, April.
  55. Yang, Qiao, 2019. "Stock returns and real growth: A Bayesian nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 53-69.
  56. Virbickaite, Audrone & Lopes, Hedibert F. & Ausín Olivera, María Concepción & Galeano San Miguel, Pedro, 2014. "Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model," DES - Working Papers. Statistics and Econometrics. WS ws142819, Universidad Carlos III de Madrid. Departamento de Estadística.
  57. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
  58. Peluso, Stefano & Mira, Antonietta & Muliere, Pietro, 2015. "Reinforced urn processes for credit risk models," Journal of Econometrics, Elsevier, vol. 184(1), pages 1-12.
  59. Jensen, Mark J. & Maheu, John M., 2014. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, vol. 178(P3), pages 523-538.
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