Deviance Information Criterion for Comparing Stochastic Volatility Models

• المؤلفون الرئيسيون: Berg, Andreas, Meyer, Renate, YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2004
• الموضوعات: Bayesian deviance; Jumps; Leverage effect; Markov chain Monte Carlo; Model com- plexity; Model selection.; Applied Statistics; Econometrics
• الوصول للمادة أونلاين: 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

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...