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Adaptive Polar Sampling With An Application To A Bayes Measure Of Value-At-Risk Author info | Abstract | Publisher info | Download info | Related research | Statistics K. Van Dijk (Erasmus University of Rotterdam)
Luc Bauwens (CORE, Belgium)
Charles Bos (Erasmus University Rotterdam)
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Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used. After the transformation to polar coordinates, a Metropolis-Hastings algorithm is applied to sample directions and, conditionally on these, distances are generated by inverting the CDF. A sequential procedure is applied to update the location and scale.Tested on a set of canonical models that feature near non-identifiability, strong correlation, and bimodality, APS compares favourably with the standard Metropolis-Hastings sampler in terms of parsimony and robustness. APS is applied within a Bayesian analysis of aGARCH-mixture model which is used for the evaluation of the Value-at-Risk of the return of the Dow Jones stock index.
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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number
145.
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Date of creation: 05 Jul 2000Date of revision:
Handle: RePEc:sce:scecf0:145Contact details of provider: Postal: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain Fax: +34 93 542 17 46 Email: Web page: http://enginy.upf.es/SCE/ More information through EDIRC
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Paper Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999.
"Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk ,"
Tinbergen Institute Discussion Papers
99-082/4, Tinbergen Institute.
[Downloadable!] BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K., 1999.
"Adaptive polar sampling with an application to a Bayes measure of value-at-risk ,"
CORE Discussion Papers
1999057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
[Downloadable!] Bauwens, L. & Bos, C.S. & Dijk, H.K. van, 1999.
"Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk ,"
Econometric Institute Report
TI 99-082/4 Revision_Date, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!] L. Bauwens & C.S. Bos & H.K. van Dijk, 1999.
"Adaptive Polar Sampling with an application to a Bayes measure of Value-at-Risk ,"
Econometric Institute Report
167, Erasmus University Rotterdam, Econometric Institute.
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Van Dijk, Herman K. & Kloek, Teun & Boender, C. Guus E., 1985.
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Gary Koop & Herman K. van Dijk, 1999.
"Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach ,"
Tinbergen Institute Discussion Papers
99-072/4, Tinbergen Institute.
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"Testing for Integration Using Evolving Trend and Seasonals Models : A Bayesian Approach ,"
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"Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models ,"
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"Stochastic volatility: likelihood inference and comparison with ARCH models ,"
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"Bayesian Analysis of Stochastic Volatility Models ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 12(4), pages 371-89, October.
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references Cited by : (explanations , 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.)
Markus Haas & Stefan Mittnik & Marc S. Paolella, 2006.
"Multivariate Normal Mixture GARCH ,"
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2006/09, Center for Financial Studies.
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Dinghai Xu & Tony S. Wirjanto, 2008.
"An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility ,"
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08008, University of Waterloo, Department of Economics.
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Emese Lazar & Carol Alexander, 2006.
"Normal mixture GARCH(1,1): applications to exchange rate modelling ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
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Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001.
"On the Variation of Hedging Decisions in Daily Currency Risk Management ,"
Tinbergen Institute Discussion Papers
01-018/4, Tinbergen Institute.
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C.S. Bos & R.J. Mahieu & H.K. Van Dijk, 2000.
"On the variation of hedging decisions in daily currency risk management ,"
Econometric Institute Report
206, Erasmus University Rotterdam, Econometric Institute.
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"On the variation of hedging decisions in daily currency risk management ,"
Econometric Institute Report
EI 2000-20/A Revision_Dat, Erasmus University Rotterdam, Econometric Institute.
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"Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods ,"
Econometric Institute Report
278, Erasmus University Rotterdam, Econometric Institute.
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Other versions: Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006.
"Regime switching GARCH models ,"
Discussion Papers (ECON - Département des Sciences Economiques)
2006006, Université catholique de Louvain, Département des Sciences Economiques.
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BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006.
"Regime switching GARCH models ,"
CORE Discussion Papers
2006011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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"Regime switching GARCH models ,"
Cahiers de recherche
06-08, HEC Montréal, Institut d'économie appliquée.
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