approximation in this setting, with a stochastic volatility model for financial returns used for illustration. …

This paper proposes a large Bayesian Vector Autoregressive (BVAR) model with common stochastic volatility to forecast … stochastic volatility significantly outperforms the random walk both in terms of root mean squared errors as well as Bayesian log … predictive scores. The BVAR model without stochastic volatility, on the other hand, underperforms relative to the random walk. In …

volatility. Models incorporating both stochastic volatility and jumps in the returns series are compared on the basis of the …

This paper designs a Particle Learning (PL) algorithm for estimation of Bayesian nonparametric Stochastic Volatility …

In this paper we propose a new class of asymmetric stochastic volatility (SV) models, which specifies the volatility as …