Leverage, heavy-tails and correlated jumps in stochastic volatility models 利用統計を見る

アイテムタイプ	テクニカルレポート / Technical Report
言語	英語
キーワード	Bayesian analysis, Correlated jumps, Heavy-tailed error, Jumps, Leverage effect, Markov chain Monte Carlo, Marginal likelihood, Mixture sampler, Stochastic volatility, Stock returns
著者	Nakajima Jouchi Omori Yasuhiro
著者所属	Bank of Japan Faculty of Economics, University of Tokyo,
抄録	This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. We illustrate our method using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based on the marginal likelihood for various SV models including the superposition model.
内容記述	本文フィルはリンク先を参照のこと
雑誌名	Discussion paper series. CIRJE-F
巻	CIRJE-F-514
発行年	2007-09
書誌レコードID	AA11450569
フォーマット	application/pdf
日本十進分類法	330
出版者	日本経済国際共同センター
出版者別名	Center for International Research on the Japanese Economy
関係URI	http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cf514ab.html

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