下田平 大海

Kwansei Gakuin University Repository

2013??????????????????????????MCMC??????????????????????????? ????? ???????????????"?????????"?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????(AjB) / f(BjA)(A)???? (AjB)????? (A)??? f(BjA)??????????????????????????????????????????????????????????????? (MCMC)?????MCMC??????????????????????????????????????????????????????? 3?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????Yt???????Vt????????????Yt = tVt12Ht+1 = Ht + t(t; t)0  N(0;);  =   !M ?????????? T ???????????????? Yt; Vt; ht?M ? T ????t; t?M  1??? 2M  T ???????????? (t; t)0? 2M ?????????????V; ?????????? 0??????????????? ;; H??????????????????????????????????????????????????????????????? 2??????????????? ?? 95%????1 0.7 0.707 [0.693,0.713]2 0.8 0.798 [0.789,0.808];1 1.0 1.072 [0.993,1.112];2 1.2 1.165 [1.082,1.285];1 0.2 0.206 [0.184,0.231];2 0.8 0.784 [0.684,0.879]????????????????????????????????????????????????????????????????????????????????????????????????????????[1] Tsunehiro Ishihara and Yasuhiro Omori (2012), \Ecient Bayesian estimation ofmultivariate stochastic volatility model with cross leverage and heavy-tailed errors\Computational Statistics and Date Analysis, 56, 3674-3689.[2] Siddhartha Chib, Yasuhiro Omori and Manabu Asai (2009), \Multivariate stochas-tic volatility\ in: T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.),Handbook of Financial Time Series, Springer-Verlag, New York, 365-400.2

多変量確率的ボラティリティモデルのMCMCによる推定

https://kwansei.repo.nii.ac.jp/?action=repository_action_common_download&item_id=21271&item_no=1&attribute_id=20&file_no=1

多変量確率的ボラティリティモデルのMCMCによる推定

Abstract

Similar works

Full text

Available Versions

Kwansei Gakuin University Repository