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Leverage, heavy-tails and correlated jumps in stochastic volatility models

  • Nakajima, Jouchi
  • Omori, Yasuhiro

Efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps are proposed. The methods are illustrated using simulated data and are applied to analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based on the marginal likelihood for various SV models including the superposition model.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4S2F5GD-2/2/bbabb9344a77b3a9dc6ec044dc8d3fc3
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 53 (2009)
Issue (Month): 6 (April)
Pages: 2335-2353

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Handle: RePEc:eee:csdana:v:53:y:2009:i:6:p:2335-2353
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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