کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
415767 | 681233 | 2013 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A Bayesian semiparametric model for volatility with a leverage effect
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
A Bayesian semiparametric stochastic volatility model for financial data is developed. This nonparametrically estimates the return distribution from the data allowing for stylized facts such as heavy tails of the distribution of returns whilst also allowing for correlation between the returns and changes in volatility, which is usually termed the leverage effect. An efficient MCMC algorithm is described for inference. The model is applied to simulated data and two real data sets. The results of fitting the model to these data show that choosing a parametric return distribution can have a substantial effect on inference about the leverage effect.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 60, April 2013, Pages 97–110
Journal: Computational Statistics & Data Analysis - Volume 60, April 2013, Pages 97–110
نویسندگان
E.-I. Delatola, J.E. Griffin,