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Moment based estimation of supOU processes and a related stochastic volatility model
generalized method of moments Ornstein-Uhlenbeck type process L
2013/6/14
After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU SV model we estimate these processes by using the generalized method of moments. We show that t...
Bayesian Analysis of a Markov Switching Stochastic Volatility Model
marginal likelihood Markov-chain Monte Carlo Markov switching particle filter stochastic volatility TOPIX
2009/3/9
This article analyzes a Markov switching stochastic volatility (MSSV) model to accommodate the shift in the mean of log-volatility. Since it is difficult to estimate the parameters in this model based...
Bayesian Inference for Nonlinear and Non-Gaussian Stochastic Volatility Model with Leverage Effect
Bayesian model selection B-splines fat tail leverage effect Markov chain Monte Carlo
2009/3/6
Stochastic volatility (SV) models provide useful tools to describe the evolution of asset returns, which exhibit time-varying volatility. This paper extends a basic SV model to capture a leverage effe...