Stochastic Volatility and Realized Stochastic Volatility Models

Stochastic Volatility and Realized Stochastic Volatility Models
Author: Makoto Takahashi
Publisher: Springer Nature
Total Pages: 120
Release: 2023-04-18
Genre: Business & Economics
ISBN: 981990935X

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 text contains a thorough explanation of several efficient sampling algorithms for latent log volatilities, as well as an illustration of parameter estimation and volatility prediction through empirical studies utilizing various asset return data, including the yen/US dollar exchange rate, the Dow Jones Industrial Average, and the Nikkei 225 stock index. This publication is highly recommended for readers with an interest in the latest developments in stochastic volatility models and realized stochastic volatility models, particularly in regards to financial risk management.

Bayesian Model Selection and Statistical Modeling

Bayesian Model Selection and Statistical Modeling
Author: Tomohiro Ando
Publisher: CRC Press
Total Pages: 300
Release: 2010-05-27
Genre: Mathematics
ISBN: 9781439836156

Along with many practical applications, Bayesian Model Selection and Statistical Modeling presents an array of Bayesian inference and model selection procedures. It thoroughly explains the concepts, illustrates the derivations of various Bayesian model selection criteria through examples, and provides R code for implementation. The author shows how to implement a variety of Bayesian inference using R and sampling methods, such as Markov chain Monte Carlo. He covers the different types of simulation-based Bayesian model selection criteria, including the numerical calculation of Bayes factors, the Bayesian predictive information criterion, and the deviance information criterion. He also provides a theoretical basis for the analysis of these criteria. In addition, the author discusses how Bayesian model averaging can simultaneously treat both model and parameter uncertainties. Selecting and constructing the appropriate statistical model significantly affect the quality of results in decision making, forecasting, stochastic structure explorations, and other problems. Helping you choose the right Bayesian model, this book focuses on the framework for Bayesian model selection and includes practical examples of model selection criteria.

Bayesian Econometrics

Bayesian Econometrics
Author: Siddhartha Chib
Publisher: Emerald Group Publishing
Total Pages: 656
Release: 2008-12-18
Genre: Business & Economics
ISBN: 1848553099

Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.

Bayesian Statistical Modelling

Bayesian Statistical Modelling
Author: Peter Congdon
Publisher: John Wiley & Sons
Total Pages: 596
Release: 2007-04-04
Genre: Mathematics
ISBN: 0470035935

Bayesian methods combine the evidence from the data at hand with previous quantitative knowledge to analyse practical problems in a wide range of areas. The calculations were previously complex, but it is now possible to routinely apply Bayesian methods due to advances in computing technology and the use of new sampling methods for estimating parameters. Such developments together with the availability of freeware such as WINBUGS and R have facilitated a rapid growth in the use of Bayesian methods, allowing their application in many scientific disciplines, including applied statistics, public health research, medical science, the social sciences and economics. Following the success of the first edition, this reworked and updated book provides an accessible approach to Bayesian computing and analysis, with an emphasis on the principles of prior selection, identification and the interpretation of real data sets. The second edition: Provides an integrated presentation of theory, examples, applications and computer algorithms. Discusses the role of Markov Chain Monte Carlo methods in computing and estimation. Includes a wide range of interdisciplinary applications, and a large selection of worked examples from the health and social sciences. Features a comprehensive range of methodologies and modelling techniques, and examines model fitting in practice using Bayesian principles. Provides exercises designed to help reinforce the reader’s knowledge and a supplementary website containing data sets and relevant programs. Bayesian Statistical Modelling is ideal for researchers in applied statistics, medical science, public health and the social sciences, who will benefit greatly from the examples and applications featured. The book will also appeal to graduate students of applied statistics, data analysis and Bayesian methods, and will provide a great source of reference for both researchers and students. Praise for the First Edition: “It is a remarkable achievement to have carried out such a range of analysis on such a range of data sets. I found this book comprehensive and stimulating, and was thoroughly impressed with both the depth and the range of the discussions it contains.” – ISI - Short Book Reviews “This is an excellent introductory book on Bayesian modelling techniques and data analysis” – Biometrics “The book fills an important niche in the statistical literature and should be a very valuable resource for students and professionals who are utilizing Bayesian methods.” – Journal of Mathematical Psychology

Financial Econometrics

Financial Econometrics
Author: Yiu-Kuen Tse
Publisher: MDPI
Total Pages: 136
Release: 2019-10-14
Genre: Business & Economics
ISBN: 3039216260

Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges for researchers that are different from classical macro-econometric and micro-econometric problems. This Special Issue is dedicated to research topics that are relevant for analyzing financial data. We have gathered six articles under this theme.

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Author: Gary Koop
Publisher: Now Publishers Inc
Total Pages: 104
Release: 2010
Genre: Business & Economics
ISBN: 160198362X

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.

Applied Bayesian Modelling

Applied Bayesian Modelling
Author: Peter Congdon
Publisher: John Wiley & Sons
Total Pages: 464
Release: 2014-05-23
Genre: Mathematics
ISBN: 1118895053

This book provides an accessible approach to Bayesian computing and data analysis, with an emphasis on the interpretation of real data sets. Following in the tradition of the successful first edition, this book aims to make a wide range of statistical modeling applications accessible using tested code that can be readily adapted to the reader's own applications. The second edition has been thoroughly reworked and updated to take account of advances in the field. A new set of worked examples is included. The novel aspect of the first edition was the coverage of statistical modeling using WinBUGS and OPENBUGS. This feature continues in the new edition along with examples using R to broaden appeal and for completeness of coverage.

Modeling Dependence in Econometrics

Modeling Dependence in Econometrics
Author: Van-Nam Huynh
Publisher: Springer Science & Business Media
Total Pages: 570
Release: 2013-11-18
Genre: Technology & Engineering
ISBN: 3319033956

In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

Linear and Non-Linear Financial Econometrics

Linear and Non-Linear Financial Econometrics
Author: Mehmet Terzioğlu
Publisher: BoD – Books on Demand
Total Pages: 339
Release: 2021-03-17
Genre: Business & Economics
ISBN: 1839624868

The importance of experimental economics and econometric methods increases with each passing day as data quality and software performance develops. New econometric models are developed by diverging from earlier cliché econometric models with the emergence of specialized fields of study. This book, which is expected to be an extensive and useful reference by bringing together some of the latest developments in the field of econometrics, also contains quantitative examples and problem sets. We thank all the authors who contributed to this book with their studies that provide extensive and accessible explanations of the existing econometric methods.