کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096559 1376534 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bayesian estimation of an extended local scale stochastic volatility model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Bayesian estimation of an extended local scale stochastic volatility model
چکیده انگلیسی
A new version of the local scale model of Shephard (1994) is presented. Its features are identically distributed evolution equation disturbances, the incorporation of in-the-mean effects, and the incorporation of variance regressors. A Bayesian posterior simulator and a new simulation smoother are presented. The model is applied to publicly available daily exchange rate and asset return series, and is compared with t-GARCH and Lognormal stochastic volatility formulations using Bayes factors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 162, Issue 2, June 2011, Pages 369-382
نویسندگان
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