Quotation Hosszejni, Darjus, Kastner, Gregor. 2019. Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage. In: Bayesian Statistics and New Generations - Selected Contributions from BAYSM 2018, Hrsg. Raffaele Argiento, Daniele Durante, Sara Wade, 75-83. Cham: Springer.


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Abstract

The sampling efficiency of MCMC methods in Bayesian inference for stochastic volatility (SV) models is known to highly depend on the actual parameter values, and the effectiveness of samplers based on different parameterizations varies significantly. We derive novel algorithms for the centered and the non-centered parameterizations of the practically highly relevant SV model with leverage, where the return process and innovations of the volatility process are allowed to correlate. Moreover, based on the idea of ancillarity-sufficiency interweaving (ASIS), we combine the resulting samplers in order to guarantee stable sampling efficiency irrespective of the baseline parameterization. We carry out an extensive comparison to already existing sampling methods for this model using simulated as well as real world data.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Chapter in edited volume
Language English
Title Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
Title of whole publication Bayesian Statistics and New Generations - Selected Contributions from BAYSM 2018
Editor Raffaele Argiento, Daniele Durante, Sara Wade
Page from 75
Page to 83
Location Cham
Publisher Springer
Year 2019
URL https://doi.org/10.1007/978-3-030-30611-3_8
ISBN 978-3-030-30610-6
Open Access Y
Open Access Link https://arxiv.org/abs/1901.11491

Associations

People
Hosszejni, Darjus (Details)
Kastner, Gregor (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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