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Title:

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

Document type:
Buchbeitrag
Author(s):
Czado, C.., Nguyen, T., Müller, G
Artist:
Kneib, T. Tutz, G. (Eds.)
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 with d...     »
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
DOI:
doi:10.1007/978-3-7908-2413-1_16
Semester:
SS 10
Format:
Text
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