欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
针对金融市场中跳跃特征的刻画问题,提出了贝叶斯跳跃厚尾随机波动模型。通过随机波动模型的结构分析和状态空间转换,设计了模型参数估计的MCMC算法,利用Kalman滤波和高斯模拟平滑方法估计模型的潜在波动,运用贝叶斯因子对随机波动类模型进行比较分析,并利用中国和美国的股市收益数据进行实证分析。研究结果表明：在刻画中、美两国股票市场的波动特征方面,跳跃厚尾随机波动模型要明显优于厚尾随机波动模型和标准随机波动模型,并且金融危机背景下的中国和美国股票市场都具有明显的波动持续性以及跳跃特征。
英文摘要：
This paper proposes the Bayesian heavy-tailed stochastic volatility models with jumps to describe the jumps characteristics in financial market.In terms of the volatility models＇ structure and their state space transition,we construct a Markov Chain Monte Carlo algorithm to estimate parameters,utilize Kalman filters and Gaussian simulation smoother to analyze the latent volatility implied in models,and compare volatility models through Bayesian factors.Then the suggested approach is applied to analyze the volatility character of the stock market in China and America.The results show that the jump character is significant both in China and America stock market,and the heavy-tailed stochastic volatility model with jumps is superior to the standard volatility model in depicting volatility character.
同期刊论文项目
同项目期刊论文
Health care expenditure and GDP in African countries: evidence from semiparametric estimation with p
Consumption and portfolio rules for sophisticated individuals with stochastic quasi-hyperbolic disco
Democracy, financial openness and global carbon dioxide emissions: Heterogeneity across existing emi
Working Capital Management, Corporate Performance, and Strategic Choices of the Wholesale and Retail
Relationship between Strategic Risk and Return based on Ordinal Space: Panel Data Analysis on the Ch
Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson&am
Hyperbolic discounting predicts subadditive discounting for sophisticated and partially naive agents
A decision engineering method to identify the competitive effects of working capital: a neural netwo
Statistical Properties of the Foreign Exchange Network at Different Time Scales: Evidence from Detre
GBOM-oriented management of production disruption risk and optimization of supply chain construction
期刊信息
位置：