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Sequential gibbs particle filter algorithm with applications to stochastic volatility and jumps estimation

Witzany, Jiří; Fičura, Milan - In: Finance a úvěr 69 (2019) 5, pp. 463-488

Persistent link: https://www.econbiz.de/10012170648

Stochastic conditional duration model with intraday seasonality and limit order book information

Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25

It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...

Persistent link: https://www.econbiz.de/10013471159

Style analysis with particle filtering and generalized simulated annealing

Fukui, Takaya; Sato, Seisho; Takahashi, Akihiko - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011778283

Sequential Gibbs Particle Filter Algorithm with an Application to Stochastic Volatility and Jumps Estimation

Witzany, Jiri - 2018

algorithm to estimate stochastic volatility with jumps in returns and volatility model based on the Prague stock exchange …

Persistent link: https://www.econbiz.de/10012916933

Joint independent metropolis-hastings methods for nonlinear non-Gaussian state space models

Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2013

Persistent link: https://www.econbiz.de/10010191411

Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

these proposal densities are used in an independent Metropolis-Hastings algorithm. A particular feature of our approach is … that smoothed estimates of the states and the marginal likelihood are obtained directly as an output of the algorithm. Our … simulation evidence for stochastic volatility and stochastic intensity models. For our empirical study, we analyse the …

Persistent link: https://www.econbiz.de/10010399681