Extends GAS Markov-switching to K regimes, shows via simulation that means/variances/transitions recover reliably but TVTP coefficients and GAS score parameter are hard to identify, and finds lagged-yield-level transitions fit Treasury data best while GAS fails to converge.
Bayesian Analysis of Stochastic Volatility Models
3 Pith papers cite this work. Polarity classification is still indexing.
3
Pith papers citing it
representative citing papers
Bayesian joint estimation of Hurst parameter and volatility in fractional SDE models is developed to propagate parameter uncertainty into fractional Black-Scholes option prices.
stochvol is an R package providing MCMC-based Bayesian inference for stochastic volatility models, with examples on exchange rate data.
citing papers explorer
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Bayesian Joint Estimation of the Hurst Parameter and Volatility with Applications to Fractional Option Pricing
Bayesian joint estimation of Hurst parameter and volatility in fractional SDE models is developed to propagate parameter uncertainty into fractional Black-Scholes option prices.