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Titel:

Ordinal stochastic volatility and stochastic volatility models for price changes: An empirical comparison.

Dokumenttyp:
Buchbeitrag
Autor(en):
Czado, C.., Nguyen, T., Müller, G
Künstler (Werkautoren):
Kneib, T. Tutz, G. (Eds.)
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 with d...     »
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
DOI:
doi:10.1007/978-3-7908-2413-1_16
Semester:
SS 10
Format:
Text
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