UTokyo Repository 東京大学

UTokyo Repository >
117 経済学研究科・経済学部 >
70 日本経済国際共同センター >
Discussion Paper F series (in English) >

このページ(論文)をリンクする場合は次のURLを使用してください: http://hdl.handle.net/2261/35796

タイトル: Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution
著者: Nakajima, Jouchi
Omori, Yasuhiro
著者(別言語): 大森, 裕浩
発行日: 2010年4月
出版者: 日本経済国際共同センター
抄録: Bayesian analysis of a stochastic volatility model with a generalized hyperbolic (GH) skew Student’s t-error distribution is described where we first consider an asymmetric heavy-tailed error and leverage effects. An efficient Markov chain Monte Carlo estimation method is described that exploits a normal variance-mean mixture representation of the error distribution with an inverse gamma distribution as the mixing distribution. The proposed method is illustrated using simulated data, daily S&P500 and TOPIX stock returns. The models for stock returns are compared based on the marginal likelihood in the empirical study. There is strong evidence in the stock returns high leverage and an asymmetric heavy-tailed distribution. Furthermore, a prior sensitivity analysis is conducted whether the results obtained are robust with respect to the choice of the priors. Keywords: generalized hyperbolic skew Student’s t-distribution, Markov chain Monte Carlo, Mixing distribution, State space model, Stochastic volatility, Stock returns.
URI: http://hdl.handle.net/2261/35796
その他の識別子: CIRJE-F-738
出現カテゴリ:061 ディスカッションペーパー
Discussion Paper F series (in English)


ファイル 記述 サイズフォーマット
2010cf738.html605 BHTML見る/開く



Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - ご意見をお寄せください