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Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution
http://hdl.handle.net/2261/35796
http://hdl.handle.net/2261/35796d9375202-f551-4843-ab2d-59074f78a4e9
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | 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 |
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著者別名 | ||||||
識別子Scheme | WEKO | |||||
識別子 | 98547 | |||||
姓名 | 大森, 裕浩 | |||||
著者所属 | ||||||
値 | Department of Statistical Science, Duke University, Durham | |||||
著者所属 | ||||||
値 | Faculty of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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. | |||||
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-738, 発行日 2010-04 |
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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 | 335 | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
値 | 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/2010/2010cf738ab.html | |||||
異版あり | ||||||
関連タイプ | hasVersion | |||||
識別子タイプ | URI | |||||
関連識別子 | http://doi.org/10.1016/j.csda.2010.07.012 |