{"id":"https://openalex.org/W4406779754","doi":"https://doi.org/10.1007/s11222-025-10571-4","title":"Particle Gibbs for likelihood-free inference of stochastic volatility models","display_name":"Particle Gibbs for likelihood-free inference of stochastic volatility models","publication_year":2025,"publication_date":"2025-01-24","ids":{"openalex":"https://openalex.org/W4406779754","doi":"https://doi.org/10.1007/s11222-025-10571-4"},"language":"en","primary_location":{"id":"doi:10.1007/s11222-025-10571-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11222-025-10571-4","pdf_url":null,"source":{"id":"https://openalex.org/S5437875","display_name":"Statistics and Computing","issn_l":"0960-3174","issn":["0960-3174","1573-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistics and Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5005238424","display_name":"Zhaoran Hou","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"Zhaoran Hou","raw_affiliation_strings":["Department of Statistics and Actuarial Science, University of Waterloo, 200 University Ave W, Waterloo, ON, N2L 3G1, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, 200 University Ave W, Waterloo, ON, N2L 3G1, Canada","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5112854664","display_name":"Samuel W. K. Wong","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Samuel W. K. Wong","raw_affiliation_strings":["Department of Statistics and Actuarial Science, University of Waterloo, 200 University Ave W, Waterloo, ON, N2L 3G1, Canada"],"affiliations":[{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, 200 University Ave W, Waterloo, ON, N2L 3G1, Canada","institution_ids":["https://openalex.org/I151746483"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5005238424"],"corresponding_institution_ids":["https://openalex.org/I151746483"],"apc_list":{"value":2090,"currency":"EUR","value_usd":2690},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0203674,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"35","issue":"2","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12056","display_name":"Markov Chains and Monte Carlo Methods","score":0.9876000285148621,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9864000082015991,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/inference","display_name":"Inference","score":0.6719740033149719},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6243377923965454},{"id":"https://openalex.org/keywords/gibbs-sampling","display_name":"Gibbs sampling","score":0.5777268409729004},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.491451621055603},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4420638978481293},{"id":"https://openalex.org/keywords/maximum-likelihood","display_name":"Maximum likelihood","score":0.4184337258338928},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.40621083974838257},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.387643039226532},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.36938172578811646},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.32736271619796753},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2605498433113098},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.23353973031044006},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.1419239640235901},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.1237500011920929}],"concepts":[{"id":"https://openalex.org/C2776214188","wikidata":"https://www.wikidata.org/wiki/Q408386","display_name":"Inference","level":2,"score":0.6719740033149719},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6243377923965454},{"id":"https://openalex.org/C158424031","wikidata":"https://www.wikidata.org/wiki/Q1191905","display_name":"Gibbs sampling","level":3,"score":0.5777268409729004},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.491451621055603},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4420638978481293},{"id":"https://openalex.org/C49781872","wikidata":"https://www.wikidata.org/wiki/Q1045555","display_name":"Maximum likelihood","level":2,"score":0.4184337258338928},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.40621083974838257},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.387643039226532},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.36938172578811646},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.32736271619796753},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2605498433113098},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.23353973031044006},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.1419239640235901},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1237500011920929}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s11222-025-10571-4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11222-025-10571-4","pdf_url":null,"source":{"id":"https://openalex.org/S5437875","display_name":"Statistics and Computing","issn_l":"0960-3174","issn":["0960-3174","1573-1375"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Statistics and Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2391088837","display_name":null,"funder_award_id":"RGPIN-2019-04771","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"}],"funders":[{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":45,"referenced_works":["https://openalex.org/W1482652061","https://openalex.org/W1501586228","https://openalex.org/W1570515701","https://openalex.org/W1969161020","https://openalex.org/W1975836976","https://openalex.org/W1981254972","https://openalex.org/W1990658333","https://openalex.org/W1995780830","https://openalex.org/W2045345437","https://openalex.org/W2048509028","https://openalex.org/W2053332694","https://openalex.org/W2054599015","https://openalex.org/W2055654935","https://openalex.org/W2060164407","https://openalex.org/W2061772452","https://openalex.org/W2065134558","https://openalex.org/W2079672223","https://openalex.org/W2089657469","https://openalex.org/W2098613108","https://openalex.org/W2117019869","https://openalex.org/W2131598171","https://openalex.org/W2139812092","https://openalex.org/W2144246192","https://openalex.org/W2147357149","https://openalex.org/W2147639966","https://openalex.org/W2148613679","https://openalex.org/W2161991675","https://openalex.org/W2163587350","https://openalex.org/W2165609874","https://openalex.org/W2215279494","https://openalex.org/W2615169754","https://openalex.org/W2794527365","https://openalex.org/W2902681497","https://openalex.org/W2964123909","https://openalex.org/W2964143181","https://openalex.org/W2964343051","https://openalex.org/W3086242280","https://openalex.org/W3102824770","https://openalex.org/W3104382201","https://openalex.org/W3121154744","https://openalex.org/W3125246470","https://openalex.org/W4248681815","https://openalex.org/W4251281949","https://openalex.org/W4365450938","https://openalex.org/W4399495792"],"related_works":["https://openalex.org/W3146360815","https://openalex.org/W1570787356","https://openalex.org/W208520381","https://openalex.org/W1863602751","https://openalex.org/W3037216507","https://openalex.org/W2055243143","https://openalex.org/W4233378595","https://openalex.org/W2989848887","https://openalex.org/W2962968794","https://openalex.org/W2286180210"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
