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Dokumenttyp:
Buchbeitrag 
Autor(en):
Czado, C.., Nguyen, T., Müller, G 
Künstler (Werkautoren):
Kneib, T. Tutz, G. (Eds.) 
Titel:
Ordinal stochastic volatility and stochastic volatility models for price changes: An empirical comparison. 
Abstract:
Ordinal stochastic volatility (OSV) models were recently developed and fitted by M¨uller and Czado (2008) to account for the discreteness of financial price changes, while allowing for stochastic volatility (SV). The model allows for exogenous factors both on the mean and volatility level. A Bayesian approach using Markov Chain Monte Carlo (MCMC) is followed to facilitate estimation in these parameter driven models. In this paper the applicability of the OSV model to financial stocks w...    »
 
Seitenangaben Beitrag:
301-320 
Buchtitel:
Kneib, Thomas, Tutz, Gerhard: Statistical Modelling and Regression Structures 
Titelzusatz:
Festschrift in Honour of L. Fahrmeir 
Verlag / Institution:
Springer 
Verlagsort:
Heidelberg 
Jahr:
2010 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 10 
Format:
Text