Inference for stochastic volatility models using time change transformations

10 November 2007

Papers citing "Inference for stochastic volatility models using time change transformations"

12 / 12 papers shown

Title
Sequential Bayesian Learning for Hidden Semi-Markov Models Patrick Aschermayr K. Kalogeropoulos 13 0 0 25 Jan 2023
Bayesian analysis of diffusion-driven multi-type epidemic models with application to COVID-19 Lampros Bouranis N. Demiris K. Kalogeropoulos I. Ntzoufras 17 4 0 28 Nov 2022
Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices Mai Bui Y. Pokern P. Dellaportas 32 11 0 07 Apr 2021
The computational cost of blocking for sampling discretely observed diffusions Marcin Mider Paul A. Jenkins M. Pollock Gareth O. Roberts 11 1 0 22 Sep 2020
Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes Andrew Golightly Chris Sherlock 39 3 0 11 Sep 2020
Coping With Simulators That Don't Always Return Andrew Warrington Saeid Naderiparizi Frank D. Wood 13 4 0 28 Mar 2020
Online Smoothing for Diffusion Processes Observed with Noise S. Yonekura A. Beskos 13 8 0 27 Mar 2020
Bayesian Approach for Parameter Estimation of Continuous-Time Stochastic Volatility Models using Fourier Transform Methods M. Merkle Yuri F. Saporito Rodrigo S. Targino 17 1 0 10 Dec 2018
Improved bridge constructs for stochastic differential equations G. Whitaker Andrew Golightly R. Boys Chris Sherlock 12 41 0 30 Sep 2015
Advanced MCMC Methods for Sampling on Diffusion Pathspace A. Beskos K. Kalogeropoulos E. Pazos 68 26 0 28 Mar 2012
Likelihood-based inference for correlated diffusions K. Kalogeropoulos P. Dellaportas Gareth O. Roberts 107 14 0 10 Nov 2007
Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical model O. Papaspiliopoulos Gareth O. Roberts 120 390 0 23 Oct 2007