Estimating stochastic volatility models using integrated nested Laplace approximations
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DOI: 10.1080/1351847X.2010.495475
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Cited by:
- Bermudez, P. de Zea & Marín, J. Miguel & Rue, Håvard & Veiga, Helena, 2024.
"Integrated nested Laplace approximations for threshold stochastic volatility models,"
Econometrics and Statistics, Elsevier, vol. 30(C), pages 15-35.
- Zea Bermudez, Patrícia de & Rue, Havard, 2021. "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 31804, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gressani, Oswaldo & Lambert, Philippe, 2016. "Fast Bayesian inference in semi-parametric P-spline cure survival models using Laplace approximations," LIDAM Discussion Papers ISBA 2016041, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Martins, Thiago G. & Simpson, Daniel & Lindgren, Finn & Rue, Håvard, 2013. "Bayesian computing with INLA: New features," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 68-83.
- Van Niekerk, Janet & Krainski, Elias & Rustand, Denis & Rue, Håvard, 2023. "A new avenue for Bayesian inference with INLA," Computational Statistics & Data Analysis, Elsevier, vol. 181(C).
- Laurini Márcio Poletti, 2013.
"A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models,"
Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
- Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- João Pedro Coli de Souza Monteneri Nacinben & Márcio Laurini, 2024. "Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension," Econometrics, MDPI, vol. 12(1), pages 1-28, February.
- Skaug, Hans J. & Yu, Jun, 2014. "A flexible and automated likelihood based framework for inference in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 642-654.
- Gressani, Oswaldo & Lambert, Philippe, 2018. "Fast Bayesian inference using Laplace approximations in a flexible promotion time cure model based on P-splines," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 151-167.
- Ola L{o}vsletten & Martin Rypdal, 2012. "A multifractal approach towards inference in finance," Papers 1202.5376, arXiv.org.
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Keywords
approximate Bayesian inference; Laplace approximation; latent Gaussian models; stochastic volatility model;All these keywords.
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