Advanced Search
MyIDEAS: Login to save this article or follow this journal

Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models

Contents:

Author Info

  • Mark J. Jensen

Abstract

In this paper, a semiparametric, Bayesian estimator of the long-memory stochastic volatility model's fractional order of integration is presented. This new estimator relies on a highly efficient, Markov chain Monte Carlo (MCMC) sampler of the model's posterior distribution. The MCMC algorithm is set forth in the time-scale domain of the stochastic volatility model's wavelet representation. The key to and centerpiece of this new algorithm is the quick and efficient multi-state sampler of the latent volatility's wavelet coefficients. A multi-state sampler of the latent wavelet coefficients is only possible because of the near-independent multivariate distribution of the long-memory process's wavelet coefficients. Using simulated and empirical stock return data, we find that our algorithm produces uncorrelated draws of the posterior distribution and point estimates that rival existing long-memory stochastic volatility estimators. Copyright 2004 Blackwell Publishing Ltd.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=jtsa&volume=25&issue=6&year=2004&part=null
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 25 (2004)
Issue (Month): 6 (November)
Pages: 895-922

as in new window
Handle: RePEc:bla:jtsera:v:25:y:2004:i:6:p:895-922

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, Elsevier, vol. 147(1), pages 104-119, November.
  2. Andersson, Fredrik N.G. & Li, Yushu, 2013. "How Flexible are the Inflation Targets? A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model," Working Papers, Lund University, Department of Economics 2013:38, Lund University, Department of Economics.
  3. Rosenbaum, Mathieu, 2008. "Estimation of the volatility persistence in a discretely observed diffusion model," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 118(8), pages 1434-1462, August.
  4. Cem Çakmakli, 2012. "Bayesian Semiparametric Dynamic Nelson-Siegel Model," Working Paper Series, The Rimini Centre for Economic Analysis 59_12, The Rimini Centre for Economic Analysis, revised Sep 2012.
  5. Mark J. Jensen & John M. Maheu, 2012. "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Paper Series, The Rimini Centre for Economic Analysis 45_12, The Rimini Centre for Economic Analysis.
  6. Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Paper, Federal Reserve Bank of Atlanta 2008-15, Federal Reserve Bank of Atlanta.
  7. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  8. Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(9), pages 2575-2592.
  9. Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
  10. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
  11. Nalan Basturk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute.
  12. Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:25:y:2004:i:6:p:895-922. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.