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A Note on Efficient Fitting of Stochastic Volatility Models

https://doi.org/10.1111/jtsa.12561
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/wics.1435openalex-snapshot
Accelerating MCMC algorithms
inferredcites →https://doi.org/10.1007/978-1-4899-2879-5_1openalex-snapshot
Statistical aspects of ARCH and stochastic volatility
inferredcites →https://doi.org/10.1007/978-3-319-52452-8openalex-snapshot
Time Series Analysis and Its Applications
inferredcites →https://doi.org/10.1007/978-88-470-0502-0_19openalex-snapshot
Modelling Financial Time Series
inferredcites →https://doi.org/10.1007/s11222-008-9110-yopenalex-snapshot
A tutorial on adaptive MCMC
inferredcites →https://doi.org/10.1016/j.csda.2013.01.002openalex-snapshot
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
inferredcites →https://doi.org/10.1049/ip-f-2.1993.0015openalex-snapshot
Novel approach to nonlinear/non-Gaussian Bayesian state estimation
inferredcites →https://doi.org/10.1080/01621459.1992.10475231openalex-snapshot
A Monte Carlo Approach to Nonnormal and Nonlinear State-Space Modeling
inferredcites →https://doi.org/10.1080/01621459.1999.10474153openalex-snapshot
Filtering via Simulation: Auxiliary Particle Filters
inferredcites →https://doi.org/10.1080/07474930600713564openalex-snapshot
Multivariate Stochastic Volatility: A Review
inferredcites →https://doi.org/10.1093/biomet/81.3.541openalex-snapshot
On Gibbs sampling for state space models
inferredcites →https://doi.org/10.1111/1467-937x.00050openalex-snapshot
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
inferredcites →https://doi.org/10.1111/j.1467-9868.2009.00736.xopenalex-snapshot
Particle Markov Chain Monte Carlo Methods
inferredcites →https://doi.org/10.1111/j.1467-9892.1994.tb00184.xopenalex-snapshot
DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
inferredcites →https://doi.org/10.1111/j.1467-9965.1994.tb00057.xopenalex-snapshot
MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
inferredcites →https://doi.org/10.1111/j.2517-6161.1974.tb00989.xopenalex-snapshot
Scale Mixtures of Normal Distributions
inferredcites →https://doi.org/10.1111/sjos.12136openalex-snapshot
Uniform Ergodicity of the Particle Gibbs Sampler
inferredcites →https://doi.org/10.1198/073500102753410408openalex-snapshot
Bayesian Analysis of Stochastic Volatility Models
inferredcites →https://doi.org/10.1201/b16331openalex-snapshot
Nonlinear Time Series
inferredcites →https://doi.org/10.1214/ss/1177011137openalex-snapshot
Practical Markov Chain Monte Carlo
inferredcites →https://doi.org/10.2307/3318737openalex-snapshot
An Adaptive Metropolis Algorithm
inferredcites →https://doi.org/10.32614/cran.package.mcmcopenalex-snapshot
mcmc: Markov Chain Monte Carlo
inferredcites →https://doi.org/10.32614/cran.package.stochvolopenalex-snapshot
stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models
inferredcites →https://doi.org/10.32614/r.manualsopenalex-snapshot
R: A Language and Environment for Statistical Computing
inferredcites →https://doi.org/10.48550/arxiv.1401.0604openalex-snapshot
Particle Gibbs with Ancestor Sampling
inferredcites →https://doi.org/10.5555/2627435.2670320openalex-snapshot
Particle gibbs with ancestor sampling

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4657119openalex-extracted
The ‘Short-Run’ Impact of Expectations’ Past Volatility on the Current Predictions of Investors. The Case of VIX
inferred← citeshttps://doi.org/10.1007/978-3-031-66398-7_2openalex-snapshot
Stochastic Volatility with Feedback
inferred← citeshttps://doi.org/10.1007/978-3-031-70584-7_6openalex-snapshot
State-Space Models
inferred← citeshttps://doi.org/10.1007/s10368-025-00694-4openalex-snapshot
Inflation cost of strategic goods export restriction: evidence from dynamic spatial panel data model
inferred← citeshttps://doi.org/10.1016/j.intfin.2024.102084openalex-snapshot
The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX
inferred← citeshttps://doi.org/10.1016/j.jeconom.2025.106041openalex-snapshot
Multivariate stochastic volatility models based on generalized Fisher transformation
inferred← citeshttps://doi.org/10.1111/jtsa.12652openalex-snapshot
Student‐t stochastic volatility model with composite likelihood EM‐algorithm
inferred← citeshttps://doi.org/10.11606/t.18.2022.tde-19122022-123219openalex-snapshot
Dynamic evaluation of induced epilepsy in rats: a bayesian network perspective
inferred← citeshttps://doi.org/10.3390/econometrics12040035openalex-snapshot
Bayesian Inference for Long Memory Stochastic Volatility Models
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