Multiscale Stochastic Volatility Model With Heavy Tails And Leverage Effects
Download and Read Multiscale Stochastic Volatility Model With Heavy Tails And Leverage Effects full books in PDF, ePUB, and Kindle. Read online free Multiscale Stochastic Volatility Model With Heavy Tails And Leverage Effects ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects
Author | : Tony S. Wirjanto |
Publisher | : |
Total Pages | : |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects Book in PDF, Epub and Kindle
This paper extends the multiscale stochastic volatility (MSSV) models to allow for heavy tails of the marginal distribution of the asset returns and correlation between the innovation of the mean equation and the innovations of the latent factor processes. Novel algorithms of Markov Chain Monte Carlo (MCMC) are developed to estimate parameters of these models. Results of simulation studies suggest that our proposed models and corresponding estimation methodology perform quite well. We also apply an auxiliary particle filter technique to construct one-step-ahead in-sample and out-of-sample volatility forecasts of the fitted models. In addition the models and MCMC methods are applied to data sets of asset returns from both foreign currency and equity markets.
Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects Related Books
Pages:
Pages: 24
Pages: 20
Pages: 41
Pages: 28