双指数跳变随机波动模型的贝叶斯估计

IF 0.7 4区经济学 Q4 BUSINESS, FINANCE Review of Derivatives Research Pub Date : 2021-01-01 DOI:10.1007/s11147-020-09173-1

Jinzhi Li

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引用次数: 1

摘要

本文将随机波动模型推广到允许双指数跳跃。为了推导收益的跳跃和时变波动，我们基于Chan和Hsiao (SSRN Electron J.， 2013, https://doi.org/10.2139/ssrn.2359838)中使用的频带和稀疏矩阵算法实现了一种有效的马尔可夫链蒙特卡罗方法来估计该模型。我们使用上证综合指数、恒生指数、日经225指数和韩国综合指数的每日数据来说明该方法。我们发现双指数跳变的随机波动模型在样本周期内具有较好的拟合性。

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Bayesian estimation of the stochastic volatility model with double exponential jumps

This paper generalizes the stochastic volatility model to allow for the double exponential jumps. To derive the jumps and time-varying volatility in returns, we implement an efficient Markov chain Monte Carlo approach based on the band and sparse matrix algorithms used in Chan and Hsiao (SSRN Electron J., 2013, https://doi.org/10.2139/ssrn.2359838) to estimate this model. We illustrate the the methodology using the daily data for the Shanghai Composite Index, Hangseng Index, Nikkei 225 Index and Kospi Index. We find that the stochastic volatility model with double exponential jumps provide better fitness in sample period.

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Review of Derivatives Research Multiple-

CiteScore

1.40

自引率

0.00%

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期刊介绍： The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research. The Review of Derivatives Research provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high-quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to: econometric analyses of derivative markets (efficiency, anomalies, performance, etc.) analysis of swap markets market microstructure and volatility issues regulatory and taxation issues credit risk new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management) risk-sharing issues and the design of optimal derivative securities risk management, management and control valuation and analysis of the options embedded in capital projects valuation and hedging of exotic options new areas for further development (i.e. natural resources, environmental economics. The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot'' issues in the market, small technical pieces, and timely essays related to pending legislation and policy. Officially cited as: Rev Deriv Res

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