کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096148 1376507 2014 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
چکیده انگلیسی
We extend the asymmetric, stochastic, volatility model by modeling the return-volatility distribution nonparametrically. The novelty is modeling this distribution with an infinite mixture of Normals, where the mixture unknowns have a Dirichlet process prior. Cumulative Bayes factors show our semiparametric model accurately forecasting market returns. During tranquil markets, expected volatility rises (declines, then rises as the shock increases) when the market shock is negative (positive). This asymmetry is muted when the market is volatile. In other words, when times are good, no news is good news, but during bad times, neither good nor bad news matters with regards to volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 178, Part 3, January 2014, Pages 523-538
نویسندگان
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