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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Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields
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.