Stochastic volatility with leverage: fast likelihood inference.
Kim, Shephard and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a very fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which limited its scope for applications. Despite this, their basic method has been exte...
| المؤلفون الرئيسيون: | , , , |
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| التنسيق: | Working paper |
| اللغة: | English |
| منشور في: |
Nuffield College (University of Oxford)
2004
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| _version_ | 1826286885212782592 |
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| author | Omori, Y Chib, S Shephard, N Nakajima, J |
| author_facet | Omori, Y Chib, S Shephard, N Nakajima, J |
| author_sort | Omori, Y |
| collection | OXFORD |
| description | Kim, Shephard and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a very fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which limited its scope for applications. Despite this, their basic method has been extensively used in financial economics literature and more recently in macroeconometrics. In this paper we show how to overcome the limitation of this analysis so that the essence of the Kim, Shephard and Chib (1998) can be used to deal with the leverage effect, greatly extending the applicability of this method. Several illustrative examples are provided. |
| first_indexed | 2024-03-07T01:50:22Z |
| format | Working paper |
| id | oxford-uuid:99e10121-f1ed-453a-be34-7068d9d6dcf2 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T01:50:22Z |
| publishDate | 2004 |
| publisher | Nuffield College (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:99e10121-f1ed-453a-be34-7068d9d6dcf22022-03-27T00:17:24ZStochastic volatility with leverage: fast likelihood inference.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:99e10121-f1ed-453a-be34-7068d9d6dcf2EnglishDepartment of Economics - ePrintsNuffield College (University of Oxford)2004Omori, YChib, SShephard, NNakajima, JKim, Shephard and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a very fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which limited its scope for applications. Despite this, their basic method has been extensively used in financial economics literature and more recently in macroeconometrics. In this paper we show how to overcome the limitation of this analysis so that the essence of the Kim, Shephard and Chib (1998) can be used to deal with the leverage effect, greatly extending the applicability of this method. Several illustrative examples are provided. |
| spellingShingle | Omori, Y Chib, S Shephard, N Nakajima, J Stochastic volatility with leverage: fast likelihood inference. |
| title | Stochastic volatility with leverage: fast likelihood inference. |
| title_full | Stochastic volatility with leverage: fast likelihood inference. |
| title_fullStr | Stochastic volatility with leverage: fast likelihood inference. |
| title_full_unstemmed | Stochastic volatility with leverage: fast likelihood inference. |
| title_short | Stochastic volatility with leverage: fast likelihood inference. |
| title_sort | stochastic volatility with leverage fast likelihood inference |
| work_keys_str_mv | AT omoriy stochasticvolatilitywithleveragefastlikelihoodinference AT chibs stochasticvolatilitywithleveragefastlikelihoodinference AT shephardn stochasticvolatilitywithleveragefastlikelihoodinference AT nakajimaj stochasticvolatilitywithleveragefastlikelihoodinference |