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Interference for stochastic volatility models using time change transformations
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Kalogeropoulos, Konstantinos, Roberts, Gareth O. and Dellaportas, Petros (2010) Interference for stochastic volatility models using time change transformations. Annals of statistics, Vol.38 (No.2). pp. 784-807. doi:10.1214/09-AOS702 ISSN 0090-5364.
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Official URL: http://dx.doi.org/10.1214/09-AOS702
Abstract
We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrization defined through transformations that operate on the time scale of the diffusion. A novel MCMC scheme which overcomes the inherent difficulties of time change transformations is also presented. The algorithm is fast to implement and applies to models with stochastic volatility. The methodology is tested through simulation based experiments and illustrated on data consisting of US treasury bill rates.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Annals of statistics | ||||
Publisher: | Inst Mathematical Statistics | ||||
ISSN: | 0090-5364 | ||||
Official Date: | April 2010 | ||||
Dates: |
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Volume: | Vol.38 | ||||
Number: | No.2 | ||||
Number of Pages: | 24 | ||||
Page Range: | pp. 784-807 | ||||
DOI: | 10.1214/09-AOS702 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Funder: | Engineering and Physical Sciences Research Council (EPSRC), Marie Curie fellowships | ||||
Grant number: | GR/S61577/01 |
Data sourced from Thomson Reuters' Web of Knowledge
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