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Bayesian Analysis of a Threshold Stochastic Volatility Model

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  • Tony S. Wirjanto
  • Adam W. Kolkiewicz
  • Zhongxian Men

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  • Tony S. Wirjanto & Adam W. Kolkiewicz & Zhongxian Men, 2016. "Bayesian Analysis of a Threshold Stochastic Volatility Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 462-476, August.
    • Handle: RePEc:wly:jforec:v:35:y:2016:i:5:p:462-476
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    Cited by:

    1. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2021. "Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects," JRFM, MDPI, vol. 14(5), pages 1-28, May.
    2. 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.
    3. P. de Zea Bermudez & J. Miguel Marín & Helena Veiga, 2020. "Data cloning estimation for asymmetric stochastic volatility models," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 1057-1074, November.
    4. 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 Estadística.
    5. Mao, Xiuping & Ruiz, Esther & Veiga, Helena, 2017. "Threshold stochastic volatility: Properties and forecasting," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1105-1123.

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