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BAYESIAN STOCHASTIC VOLATILITY MODELS: AUXILIARY VARIABLE METHODS FOR STOCHASTIC VOLATILITY AND OTHER TIME-VARYING VOLATILITY MODELS - Couverture souple

Giakoumatos, Stefanos

 
9783838386331: BAYESIAN STOCHASTIC VOLATILITY MODELS: AUXILIARY VARIABLE METHODS FOR STOCHASTIC VOLATILITY AND OTHER TIME-VARYING VOLATILITY MODELS
Couverture souple
ISBN 10 : 3838386337 ISBN 13 : 9783838386331
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

The phenomenon of changing variance and covariance is often encountered in financial time series. As a result, during the last years researchers focused on the time-varying volatility models. These models are able to describe the main characteristics of the financial data such as the volatility clustering. In addition, the development of the Markov Chain Monte Carlo Techniques (MCMC) provides a powerful tool for the estimation of the parameters of the time-varying volatility models, in the context of Bayesian analysis. In this thesis, we adopt the Bayesian inference and we propose easy-to-apply MCMC algorithms for a variety of time-varying volatility models. We use a recent development in the context of the MCMC techniques, the Auxiliary variable sampler. This technique enables us to construct MCMC algorithms, which only consist of Gibbs steps. We propose new MCMC algorithms for many univariate and multivariate models. Furthermore, we apply the proposed MCMC algorithms to real data and compare the above models based on their predictive distribution

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Présentation de l'éditeur

The phenomenon of changing variance and covariance is often encountered in financial time series. As a result, during the last years researchers focused on the time-varying volatility models. These models are able to describe the main characteristics of the financial data such as the volatility clustering. In addition, the development of the Markov Chain Monte Carlo Techniques (MCMC) provides a powerful tool for the estimation of the parameters of the time-varying volatility models, in the context of Bayesian analysis. In this thesis, we adopt the Bayesian inference and we propose easy-to-apply MCMC algorithms for a variety of time-varying volatility models. We use a recent development in the context of the MCMC techniques, the Auxiliary variable sampler. This technique enables us to construct MCMC algorithms, which only consist of Gibbs steps. We propose new MCMC algorithms for many univariate and multivariate models. Furthermore, we apply the proposed MCMC algorithms to real data and compare the above models based on their predictive distribution

Biographie de l'auteur

Stefanos Giakoumatos is Associate Professor of Statistics and Quantitative Methods in the Technological Educational Institute of Kalamata Greece. He was born in Athens in 1972 and he was studied Statistics in the Athens University of Economics and Business (Ph.D, M.Sc., B.Sc). His scientific interests include MCMC methods, Time-series Analysis.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3838386337
ISBN 13 
9783838386331
Reliure
Broché
Nombre de pages
240
Coordonnées du fabricant
non disponible
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