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A comparative study of two models SV with MCMC algorithm

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  • Ahmed Hachicha
  • Fatma Hachicha
  • Afif Masmoudi

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  • Ahmed Hachicha & Fatma Hachicha & Afif Masmoudi, 2012. "A comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, vol. 38(4), pages 479-493, May.
    • Handle: RePEc:kap:rqfnac:v:38:y:2012:i:4:p:479-493
    DOI: 10.1007/s11156-011-0236-1
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    1. Jow-Ran Chang & Mao-Wei Hung & Cheng Few Lee & Hsin-Min Lu, 2020. "The Jump Behavior of a Foreign Exchange Market: Analysis of the Thai Baht," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 52, pages 1943-1968, World Scientific Publishing Co. Pte. Ltd..
    2. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400.
    3. Vivek Sharma, 2011. "Stock returns and product market competition: beyond industry concentration," Review of Quantitative Finance and Accounting, Springer, vol. 37(3), pages 283-299, October.
    4. Thomas J. O’Brien & Walter Dolde, 2000. "A currency index global capital asset pricing model," European Financial Management, European Financial Management Association, vol. 6(1), pages 7-18, March.
    5. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
    6. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
    7. Hwang, Soosung & Salmon, Mark, 2004. "Market stress and herding," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 585-616, September.
    8. Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 429-434, October.
    9. Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 139-144.
    10. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
    11. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
    12. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
    13. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
    14. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
    15. Asai, Manabu, 2008. "Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 332-341, March.
    16. W. R. Gilks & P. Wild, 1992. "Adaptive Rejection Sampling for Gibbs Sampling," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(2), pages 337-348, June.
    17. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Citations

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    Cited by:

    1. Bingxin Li, 2020. "Option-implied filtering: evidence from the GARCH option pricing model," Review of Quantitative Finance and Accounting, Springer, vol. 54(3), pages 1037-1057, April.
    2. Ahmed Hachicha & Fatma Hachicha & Afif Masmoudi, 2013. "SV Mixture, Classification Using EM Algorithm," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(4), pages 553-559, April.

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    More about this item

    Keywords

    Autoregression; MCMC; Stochastic volatility; Student’s t-distribution; SVOL; C11; C15; C22; G12;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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