Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

By Eric Jacquier, Nicholas G. Polson, Peter E. Rossi. 2004

674 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cc7862eb1c20e6ddb0791a654483d8550cb4f458

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Citations in the corpus

Slice sampling mixture models (2011, methodology): “This is yet another commonly used data set in density estimation and volatility studies of financial asset returns; see, Jacquier, Polson, and Rossi (1994, 2004).”
Stochastic volatility with leverage: Fast and efficient likelihood inference (2007, methodology): “For a deeper understanding of the model we analyze in this paper it is worth noting that the model in Jacquier et al. (2004) where t and Zt 1 are correlated is distinct and different.”
Penalising Model Component Complexity: A Principled, Practical Approach to Constructing Priors (2014, methodology): “ur so that we cannot have the mode (or a non-zero density) at d= 0. Furthermore, commonly used priors for the d.o.f. often include the exponential (Geweke, 2006) or the uniform (on a ﬁnite interval) (Jacquier et al., 2004), which might be due to its use in the examples of the WinBugs manual. These c”
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (2006, methodology): “Jacquier et al. (2002) argue that this effect may help to explain the extremely large negative returns that are seen occasionally in the data (‘‘crash’’ days).”
Sequential Learning, Predictability, and Optimal Portfolio Returns: Sequential Learning, Predictability, and Optimal Portfolio Returns (2014, positive): “…incorporating a leverage effect using the full-sample of returns, and the point estimate was only −0.11, which is much smaller (in absolute value) than typically found at the daily frequency (e.g., Eraker, Johannes, and Polson (2003) and Jacquier, Polson, and Rossi (2004) find values around -0.5).”
Stick-breaking autoregressive processes (2011, methodology): “The parameters δ, σ2v are given relatively flat priors for the relevant ranges: σ−2v ∼ Ga(1, 0.005/2) and δ ∼ N(0, 10) truncated to [0,1] as described in Jacquier et al. (2004).”
Volatility Transmission Models: A Survey (2006, positive): “They are used, among others, by King and Wadhwani (1990), Jimeno (1995) and Hsin (2004).”
The information content of high-frequency data for estimating equity return models and forecasting risk (2010, methodology): “In order to facilitate the 9 exposition, we first present the part of our single-factor model identical with Jacquier, Polson, and Rossi (2004).”