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Leverage, heavy-tails and correlated jumps in stochastic volatility models
http://hdl.handle.net/2261/8044
http://hdl.handle.net/2261/804482a18d78-7dca-4d00-99d5-4dae602b3086
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | Leverage, heavy-tails and correlated jumps in stochastic volatility models | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Bayesian analysis | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Correlated jumps | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Heavy-tailed error | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Jumps | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Leverage effect | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Markov chain Monte Carlo | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Marginal likelihood | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Mixture sampler | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Stochastic volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Stock returns | |||||
主題Scheme | Other | |||||
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 |
Nakajima, Jouchi
× Nakajima, Jouchi× Omori, Yasuhiro |
|||||
著者所属 | ||||||
著者所属 | Bank of Japan | |||||
著者所属 | ||||||
著者所属 | Faculty of Economics, University of Tokyo, | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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 | ||||||
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 CIRJE-F-514, 発行日 2007-09 |
|||||
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 | 330 | |||||
主題Scheme | NDC | |||||
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/2007/2007cf514ab.html |