Inference for stochastic volatility models using time change transformations
Kalogeropoulos, K.
, Roberts, G. O. & Dellaportas, P.
(2010).
Inference for stochastic volatility models using time change transformations.
Annals of Statistics,
38(2), 784-807.
https://doi.org/10.1214/09-AOS702
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 |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.1214/09-AOS702 |
| Date Deposited | 13 Jan 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/31421 |
Explore Further
- C11 - Bayesian Analysis
- C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods
- C22 - Time-Series Models
- https://www.scopus.com/pages/publications/77649314500 (Scopus publication)
- http://www.imstat.org/aos/ (Official URL)
ORCID: https://orcid.org/0000-0002-0330-9105