Filtering and Estimation for a Class of Stochastic Volatility Models with Intractable Likelihoods
| dc.citation.firstpage | 29 | |
| dc.citation.issueNumber | 1 | |
| dc.citation.journalTitle | Bayesian Analysis | |
| dc.citation.lastpage | 52 | |
| dc.citation.volumeNumber | 14 | |
| dc.contributor.author | Vankov, Emilian R. | |
| dc.contributor.author | Guindani, Michele | |
| dc.contributor.author | Ensor, Katherine B. | |
| dc.date.accessioned | 2021-12-17T20:08:18Z | |
| dc.date.available | 2021-12-17T20:08:18Z | |
| dc.date.issued | 2019 | |
| dc.description.abstract | We introduce a new approach to latent state filtering and parameter estimation for a class of stochastic volatility models (SVMs) for which the likelihood function is unknown. The α-stable stochastic volatility model provides a flexible framework for capturing asymmetry and heavy tails, which is useful when modeling financial returns. However, the α-stable distribution lacks a closed form for the probability density function, which prevents the direct application of standard Bayesian filtering and estimation techniques such as sequential Monte Carlo and Markov chain Monte Carlo. To obtain filtered volatility estimates, we develop a novel approximate Bayesian computation (ABC) based auxiliary particle filter, which provides improved performance through better proposal distributions. Further, we propose a new particle based MCMC (PMCMC) method for joint estimation of the parameters and latent volatility states. With respect to other extensions of PMCMC, we introduce an efficient single filter particle Metropolis-within-Gibbs algorithm which can be applied for obtaining inference on the parameters of an asymmetric α-stable stochastic volatility model. We show the increased efficiency in the estimation process through a simulation study. Finally, we highlight the necessity for modeling asymmetric α-stable SVMs through an application to propane weekly spot prices. | |
| dc.identifier.citation | Vankov, Emilian R., Guindani, Michele and Ensor, Katherine B.. "Filtering and Estimation for a Class of Stochastic Volatility Models with Intractable Likelihoods." <i>Bayesian Analysis,</i> 14, no. 1 (2019) Project Euclid: 29-52. https://doi.org/10.1214/18-BA1099. | |
| dc.identifier.digital | 18-BA1099-1 | |
| dc.identifier.doi | https://doi.org/10.1214/18-BA1099 | |
| dc.identifier.uri | https://hdl.handle.net/1911/111873 | |
| dc.language.iso | eng | |
| dc.publisher | Project Euclid | |
| dc.rights | Creative Commons Attribution 4.0 International License | |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
| dc.title | Filtering and Estimation for a Class of Stochastic Volatility Models with Intractable Likelihoods | |
| dc.type | Journal article | |
| dc.type.dcmi | Text | |
| dc.type.publication | publisher version |
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