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Stochastic volatility with leverage : fast and efficient likelihood inference
http://hdl.handle.net/2261/2572
http://hdl.handle.net/2261/25720bafd059-ba6d-40d2-bd16-93a55f22bbda
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Stochastic volatility with leverage : fast and efficient likelihood inference | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Leverage effect | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Markov chain Monte Carlo | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Mixture sampler | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stochastic volatility | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Stock returns | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Omori, Yasuhiro
× Omori, Yasuhiro× Siddhartha, Chib× Neil, Shephard× Nakajima, Jouchi |
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| 著者所属 | ||||||
| 著者所属 | University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Washington University | |||||
| 著者所属 | ||||||
| 著者所属 | Nuffield College | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper is concerned with the Bayesian analysis of stochastic volatility (SV) models with leverage. Specifically, the paper shows how the often used Kim et al. (1998) method that was developed for SV models without leverage can be extended to models with leverage. The approach relies on the novel idea of approximating the joint distribution of the outcome and volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions. The resulting posterior distribution is summarized by MCMC methods and the small approximation error in working with the mixture approximation is corrected by a reweighting procedure. The overall procedure is fast and highly efficient. We illustrate the ideas on daily returns of the Tokyo Stock Price Index. Finally, extensions of the method are described for superposition models (where the log-volatility is made up of a linear combination of heterogenous and independent autoregressions) and heavy-tailed error distributions (student and log-normal). | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Revised in April 2006 | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Journal of Econometrics. 掲載予定. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 2004-CF-297, 発行日 2004-08 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 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 | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2004/2004cf297ab.html | |||||
