文献详情
Bayesian Testing for Leverage Effect in Stochastic Volatility Models
文献类型：期刊
通讯作者：Li, Y (reprint author), Renmin Univ China, Hanqing Adv Inst Econ & Finance, Beijing 100872, Peoples R China.
期刊名称：COMPUTATIONAL ECONOMICS影响因子和分区
年：2019
卷：53
期：3
页码：1153-1164
ISSN：0927-7099
关键词：Bayes factor; chi(2) test; Leverage effect; Markov chain Monte Carlo (MCMC); Stochastic volatility models
摘要：Stochastic volatility models have been widely appreciated to model the time-varying volatility in empirical finance. In practice, whether or not there is leverage effect in asset time series is one of important stylized facts. In this paper, in the context of the stochastic volatility models, the main purpose is to develop a Bayesian approach for testing the leverage effect. The performance of the developed procedure is illustrated by the simulation studies and two empirical examples.
DOI：10.1007/s10614-017-9784-3
百度学术：Bayesian Testing for Leverage Effect in Stochastic Volatility Models
语言：外文
人气指数：2
浏览次数：2
基金：Fundamental Research Funds for the Central UniversitiesFundamental Research Funds for the Central Universities; Research Funds of Renmin University of China [14XNI005]
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