CIRJE-F-514 | "Leverage, heavy-tails and correlated jumps in stochastic volatility models" |
Author Name | Nakajima, Jouchi and Yasuhiro Omori |
Date | September 2007 |
Full Paper | PDF file |
Remarks | Revised in January 2008; Computational Statistics and Data Analysis, 53-6, 2335-2353. April 2009. |
Abstract |
This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. Our method is illustrated using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based on the marginal likelihood for various SV models including the superposition model. |