A comparative study of two models SV with MCMC algorithm
AbstractNo abstract is available for this item.
Download InfoIf 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.
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 InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 38 (2012)
Issue (Month): 4 (May)
Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102990
Autoregression; MCMC; Stochastic volatility; Student’s t-distribution; SVOL; C11; C15; C22; G12;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
- Hwang, Soosung & Salmon, Mark, 2004.
"Market stress and herding,"
Journal of Empirical Finance, Elsevier,
Elsevier, vol. 11(4), pages 585-616, September.
- Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
- Manabu Asai & Michael McAleer, 2006.
"Asymmetric Multivariate Stochastic Volatility,"
Econometric Reviews, Taylor & Francis Journals,
Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
- Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers, Universitat de les Illes Balears, Departament d'EconomÃa Aplicada 12, Universitat de les Illes Balears, Departament d'EconomÃa Aplicada.
- Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 139-144.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007.
"Multivariate stochastic volatility,"
CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
- Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, Elsevier, vol. 64(1-2), pages 375-400.
- Thomas J. O'Brien & Walter Dolde, 2000. "A currency index global capital asset pricing model," European Financial Management, European Financial Management Association, vol. 6(1), pages 7-18.
- Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(4), pages 429-34, October.
- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, Elsevier, vol. 108(2), pages 281-316, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) 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.