| 书目名称 | Stochastic Volatility and Realized Stochastic Volatility Models |
| 编辑 | Makoto Takahashi,Yasuhiro Omori,Toshiaki Watanabe |
| 视频video | http://file.papertrans.cn/879/878190/878190.mp4 |
| 概述 | Describes an MCMC estimation method for stochastic volatility models and realized stochastic volatility models.Focuses on the realized stochastic volatility model.Provides several applications with re |
| 丛书名称 | SpringerBriefs in Statistics |
| 图书封面 |  |
| 描述 | .This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall.. . The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The |
| 出版日期 | Book 2023 |
| 关键词 | Bayesian Analysis; Realized Volatility; Stochastic Volatility; Markov Chain Monte Carlo; High-frequency |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-981-99-0935-3 |
| isbn_softcover | 978-981-99-0934-6 |
| isbn_ebook | 978-981-99-0935-3Series ISSN 2191-544X Series E-ISSN 2191-5458 |
| issn_series | 2191-544X |
| copyright | The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2023 |
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