Estimation of Hyperbolic Diffusion Using MCMC Method
In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the financial econometrics literature, such as slowly declining autocorrelation function of absolute terms. We demonstrate that the MCMC method provides a useful tool to analyze hyperbolic diffusions. In particular, quantities of posterior distributions obtained from MCMC outputs can be used for statistical inferences.
|Date of creation:||Sep 2002|
|Contact details of provider:|| Postal: PO Box 11E, Monash University, Victoria 3800, Australia|
Phone: +61 3 99052489
Fax: +61 3 99055474
Web page: http://business.monash.edu/econometrics-and-business-statistics
More information through EDIRC
|Order Information:|| Web: http://business.monash.edu/econometrics-and-business-statistics Email: |
References listed on IDEAS
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.:
- Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998.
"Stylized facts of daily return series and the hidden Markov model,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
- Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996. "Stylized Facts of Daily Return Series and the Hidden Markov Model," SSE/EFI Working Paper Series in Economics and Finance 117, Stockholm School of Economics.
- Chib, Siddhartha, 2001. "Markov chain Monte Carlo methods: computation and inference," Handbook of Econometrics,in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 57, pages 3569-3649 Elsevier.
- Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
- Renate Meyer & Jun Yu, 2000. "BUGS for a Bayesian analysis of stochastic volatility models," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 198-215.
- Meyer, Renate & Yu, Jun, 2000. "BUGS for a Bayesian Analysis of Stochastic Volatility Models," Working Papers 206, Department of Economics, The University of Auckland.
- Vrontos, I D & Dellaportas, P & Politis, D N, 2000. "Full Bayesian Inference for GARCH and EGARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 187-198, April.
- Ola Elerian, 1998. "A note on the existence of a closed form conditional transition density for the Milstein scheme," Economics Series Working Papers 1998-W18, University of Oxford, Department of Economics.
- Tina Hviid Rydberg, 1999. "Generalized Hyperbolic Diffusion Processes with Applications in Finance," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 183-201.
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-993, July.
- Elerian, O. & Chib, S. & Shephard, N., 1998. "Likelihood INference for Discretely Observed Non-linear Diffusions," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.
- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. Full references (including those not matched with items on IDEAS)