Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns

被引：5

作者：

机构：

[1] Warty, Samir P.

[2] Lopes, Hedibert F.

[3] Polson, Nicholas G.

来源：

Lopes, Hedibert F. (HedibertFL@insper.edu.br) | 2018年 / John Wiley and Sons Ltd卷 / 34期

关键词：

Markov processes - Stochastic systems - Bayesian networks;

D O I：

10.1002/asmb.2258

中图分类号：

学科分类号：

摘要：

引用

共 47 条

[1] Discussion of “Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns”
[J]. Ravishanker, Nalini (Nalini.ravishanker@uconn.edu), 2018, John Wiley and Sons Ltd, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom (34)
[2] Discussion of "Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns"
Soyer, Refik
[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2018, 34 (04) : 482 - 483
[3] Rejoinder to "Sequential Bayesian learning for stochastic volatility with variance-gamma jumps in returns" Reply to the discussions by Nalini Ravishanker and Refik Soyer
Warty, Samir P.
Lopes, Hedibert F.
Polson, Nicholas G.
[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2018, 34 (04) : 484 - 485
[4] Sequential Learning of Cryptocurrency Volatility Dynamics: Evidence Based on a Stochastic Volatility Model with Jumps in Returns and Volatility
Huang, Jing-Zhi
Huang, Zhijian James
Xu, Li
[J]. QUARTERLY JOURNAL OF FINANCE, 2021, 11 (02)
[5] Beyond Stochastic Volatility and Jumps in Returns and Volatility
Durham, Garland
Park, Yang-Ho
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2013, 31 (01) : 107 - 121
[6] VOLATILITY, JUMPS, AND PREDICTABILITY OF RETURNS: A SEQUENTIAL ANALYSIS
Raggi, Davide
Bordignon, Silvano
[J]. ECONOMETRIC REVIEWS, 2011, 30 (06) : 669 - 695
[7] Bayesian testing for jumps in stochastic volatility models with correlated jumps
Yong, Li
Zhang, Jie
[J]. QUANTITATIVE FINANCE, 2014, 14 (10) : 1693 - 1700
[8] Bayesian testing volatility persistence in stochastic volatility models with jumps
Liu, Xiao-Bin
Li, Yong
[J]. QUANTITATIVE FINANCE, 2014, 14 (08) : 1415 - 1426
[9] Pricing European Options under Stochastic Volatility Models: Case of Five-Parameter Variance-Gamma Process
Nzokem, Aubain Hilaire
[J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2023, 16 (01)
[10] On lower partial moments for the investment portfolio with variance-gamma distributed returns
Ivanov, Roman, V
[J]. LITHUANIAN MATHEMATICAL JOURNAL, 2022, 62 (01) : 10 - 27

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