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Title:

Stochastic volatility models for ordinal valued time series with application to finance

Document type:
Zeitschriftenaufsatz
Author(s):
Müller, G., Czado, C.
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. Also vola...     »
Keywords:
Grouped move; High-frequency finance; Markov chain Monte Carlo; Multigrid Monte Carlo; Price process; Transformation group
Journal title:
Statistical Modelling
Year:
2009
Journal volume:
9
Journal issue:
1
Pages contribution:
69-95
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1177/1471082X0800900105
Status:
Verlagsversion / published
Semester:
SS 09
Format:
Text
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