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Document type:
Buchbeitrag 
Author(s):
Czado, C.., Nguyen, T., Müller, G 
Artist:
Kneib, T. Tutz, G. (Eds.) 
Title:
Ordinal stochastic volatility and stochastic volatility models for price changes: An empirical comparison. 
Pages contribution:
301-320 
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...    »
 
Book title:
Kneib, Thomas, Tutz, Gerhard: Statistical Modelling and Regression Structures 
Book subtitle:
Festschrift in Honour of L. Fahrmeir 
Publisher:
Springer 
Publisher address:
Heidelberg 
Year:
2010 
Reviewed:
ja 
Language:
en 
Semester:
SS 10 
Format:
Text