Deviance Information Criterion for Comparing Stochastic Volatility Models

• 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
• Institution: Singapore Management University

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...