haku: @indexterm Stochastic processes / yhteensä: 546
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Tekijä:Martino, S. (et al.)
Otsikko:Estimating stochastic volatility models using integrated nested Laplace approximations
Lehti:European Journal of Finance
2011 : AUG-SEP, VOL. 17:7-8, p. 487-503
Asiasana:bayesian statistics
models
stochastic processes
volatility
data analysis
Vapaa asiasana:approximate Bayesian inference
integrated nested Laplace approximation (INLAs)
latent Gaussian models
Markov Chain Monte Carlo (MCMC)
stochastic volatility model (SV)
GARCH
Kieli:eng
Tiivistelmä:In this article, they solve the problem of inference for some SV models by applying a new inferential tool, integrated nested Laplace approximations (INLAs). INLA substitutes MCMC simulations with accurate deterministic approximations, making a full Bayesian analysis of many kinds of SV models extremely fast and accurate. Their hope is that the use of INLA will help SV models to become more appealing to the financial industry, where, due to their complexity, they are rarely used in practice.
SCIMA tietueen numero: 274618
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