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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Müller, G., Czado, C. 
Titel:
Stochastic volatility models for ordinal valued time series with application to finance 
Abstract:
In this paper we introduce a new class of models, called OSV, by combining an ordinal response model and the idea of stochastic volatility. Corresponding time series occur in high-frequency finance when the stocks are traded on a coarse grid. For parameter estimation we develop an efficient Grouped Move Multigrid Monte Carlo (GM-MGMC) sampler. This sampler is based on a scale transformation group, whose elements operate on the random samples of a certain conditional distribution. Als...    »
 
Stichworte:
Grouped move; High-frequency finance; Markov chain Monte Carlo; Multigrid Monte Carlo; Price process; Transformation group 
Zeitschriftentitel:
Statistical Modelling 
Jahr:
2009 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
69-95 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 09 
Format:
Text