کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
417176 | 681464 | 2008 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Factor estimation using MCMC-based Kalman filter methods
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
An exact MCMC-based solution for the Kalman filter with Markov switching and GARCH components is proposed. To motivate the solution, an international equity market model incorporating common Markovian regimes and GARCH residuals in a persistent factor environment is considered. Given the intractable and approximate nature of the model’s likelihood function, a Metropolis-in-Gibbs sampler with Bayesian features is constructed for estimation purposes. To accelerate the drawing procedure, approximations to the conditional density of the common component are also considered. The model is applied to equity data for 18 developed markets to derive global, European, and country-specific equity market factors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 53, Issue 2, 15 December 2008, Pages 344–353
Journal: Computational Statistics & Data Analysis - Volume 53, Issue 2, 15 December 2008, Pages 344–353
نویسندگان
Sarantis Tsiaplias,