Deviance Information Criterion for Comparing Stochastic Volatility Models

Deviance Information Criterion for Comparing Stochastic Volatility Models

Bayesian methods have been efficient in estimating parameters of stochastic volatility models for analyzing financial time series. Recent advances made it possible to fit stochastic volatility models of increasing complexity, including covariates, leverage effects, jump components, and heavy-tailed...

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Bibliographic Details
Main Authors: Berg, Andreas, Meyer, Renate, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Bayesian deviance; Jumps; Leverage effect; Markov chain Monte Carlo; Model com- plexity; Model selection.
Applied Statistics
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/351
https://ink.library.smu.edu.sg/context/soe_research/article/1350/viewcontent/SSRN_id320023__1_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/351
https://ink.library.smu.edu.sg/context/soe_research/article/1350/viewcontent/SSRN_id320023__1_.pdf

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