Block sampler and posterior mode estimation for asymmetric stochastic volatility models
Abstract
A new efficient simulation smoother and disturbance smoother are introduced for asymmetric stochastic volatility models where there exists a correlation between today's return and tomorrow's volatility. The state vector is divided into several blocks where each block consists of many state variables. For each block, corresponding disturbances are sampled simultaneously from their conditional posterior distribution. The algorithm is based on the multivariate normal approximation of the conditional posterior density and exploits a conventional simulation smoother for a linear and Gaussian state-space model. The performance of our method is illustrated using two examples: (1) simple asymmetric stochastic volatility model and (2) asymmetric stochastic volatility model with state-dependent variances. The popular single move sampler which samples a state variable at a time is also conducted for comparison in the first example. It is shown that our proposed sampler produces considerable improvement in the mixing property of the Markov chain Monte Carlo chain.Download Info
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Bibliographic Info
Article provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 52 (2008)
Issue (Month): 6 (February)
Pages: 2892-2910
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Web page: http://www.elsevier.com/locate/csda
Related research
Keywords:Other versions of this item:
- Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-507, CIRJE, Faculty of Economics, University of Tokyo.
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Abanto-Valle, C.A. & Bandyopadhyay, D. & Lachos, V.H. & Enriquez, I., 2010. "Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2883-2898, December.
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"Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH,"
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Elsevier, vol. 52(6), pages 2846-2862, February.
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- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2009.
"Generalized extreme value distribution with time-dependence using the AR and MA models in state space form,"
CIRJE F-Series
CIRJE-F-689, CIRJE, Faculty of Economics, University of Tokyo.
- Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3241-3259.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruwirth-Scnatter, 2009. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," IMES Discussion Paper Series 09-E-32, Institute for Monetary and Economic Studies, Bank of Japan.
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"Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution,"
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