Inference for stochastic volatility models using time change transformations
Kalogeropoulos, Konstantinos
; Roberts, Gareth O.; and Dellaportas, Petros
(2010)
Inference for stochastic volatility models using time change transformations
Annals of Statistics, 38 (2).
pp. 784-807.
ISSN 0090-5364
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 reparametrisation 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 | Article |
|---|---|
| Copyright holders | © 2010 IMS |
| Keywords | imputation, Markov chain Monte Carlo, diffusion processes |
| Departments | Statistics |
| DOI | 10.1214/09-AOS702 |
| Date Deposited | 13 Jan 2011 14:11 |
| URI | https://researchonline.lse.ac.uk/id/eprint/31421 |
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ORCID: https://orcid.org/0000-0002-0330-9105