Concepedia

Bayesian Stochastic Volatility Models

Bayesian Stochastic Volatility Models is a class of latent variable models in econometrics that incorporates Bayesian inference to estimate time-varying volatility through a stochastic process, distinguishing itself by explicitly modeling the volatility as a latent state governed by a random dynamic evolution and using prior distributions to parameterize uncertainty in the volatility process.

118

Publications

4.7K

Citations

187

Authors

171

Institutions

Publications per year

2017–2026

41

Parents

Publications

118

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

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Econometrics · 2003 · 657 citations

, , +16

Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

Andrea Carriero, Todd E. Clark, Massimiliano Marcellino · Journal of Econometrics · 2019 · 210 citations · Full text

, , +15

Common Drifting Volatility in Large Bayesian VARs

Andrea Carriero, Todd E. Clark, Massimiliano Marcellino · Journal of Business and Economic Statistics · 2015 · 203 citations · Full text

, , +17

Bayesian Vector Autoregressions with Stochastic Volatility

Harald Uhlig · Econometrica · 1997 · 169 citations

, , +16

Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo

Ajay Jasra, David A. Stephens, Arnaud Doucet et al. · Scandinavian Journal of Statistics · 2010 · 155 citations

, , +17

1–5 of 118

Authors

187

  1. JC
    Joshua C. C. Chan

    Australian National University, Australia

    6 publications · 191 citations

    7

    h-index

  2. MM
    Massimiliano Marcellino

    Bocconi University, Italy

    4 publications · 487 citations

    5

    h-index

  3. TE
    Todd E. Clark

    Federal Reserve Bank of Cleveland, United States

    4 publications · 487 citations

    4

    h-index

  4. MK
    Mike K. P. So

    Hong Kong University of Science and Technology, Hong Kong SAR China

    4 publications · 169 citations

    4

    h-index

  5. RK
    Robert Kohn

    UNSW Sydney, Australia

    4 publications · 114 citations

    4

    h-index

1–5 of 187

Institutions

171

  1. University of Kent

    Canterbury, United Kingdom

    5 h-index

    7 publications

    186 citations

  2. UNSW Sydney

    Sydney, Australia

    5 h-index

    6 publications

    169 citations

  3. Universidade Estadual de Campinas (UNICAMP)

    Campinas, Brazil

    5 h-index

    5 publications

    206 citations

  4. Federal Reserve Bank of Cleveland

    Cleveland, United States

    4 h-index

    3 publications

    451 citations

  5. The University of Sydney

    Sydney, Australia

    4 h-index

    9 publications

    290 citations

  6. Bocconi University

    Milan, Italy

    4 h-index

    3 publications

    451 citations

  7. Federal Reserve Bank of Atlanta

    Georgiana, United States

    3 h-index

    2 publications

    156 citations

  8. National Bureau of Economic Research

    Cambridge, United States

    3 h-index

    5 publications

    90 citations

1–8 of 171

Venues

  1. SSRN Electronic Journal

    Repository · 10 publications · 289 citations

    10

    h-index

  2. Journal of Business and Economic Statistics

    JBES · 8 publications · 366 citations

    8

    h-index

  3. Econometric Reviews

    8 publications · 260 citations

    8

    h-index

  4. Journal of Econometrics

    5 publications · 1K citations

    6

    h-index

  5. Computational Statistics & Data Analysis

    CSDA · 5 publications · 250 citations

    5

    h-index

1–5