MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
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| 024 | 7 | 0 | |a 10.2202/1558-3708.1211 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.2202/1558-3708.1211 | ||
| 245 | 0 | 0 | |a MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model |h [Elektronische Daten] |c [Nunzio Cappuccio, Diego Lubian, Davide Raggi] |
| 520 | 3 | |a In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the Skew-normal and the normal densities as special cases so that specification tests are easily performed. Inference is conducted under a Bayesian framework using Markov Chain MonteCarlo methods for computing the posterior distributions of the parameters. More precisely, our Gibbs-MH updating scheme makes use of the Delayed Rejection Metropolis-Hastings methodology as proposed by Tierney and Mira (1999), and of Adaptive-Rejection Metropolis sampling. We apply this methodology to a data set of daily and weekly exchange rates. Our results suggest that daily returns are mostly symmetric with fat-tailed distributions while weekly returns exhibit both significant asymmetry and fat tails. | |
| 540 | |a ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston | ||
| 700 | 1 | |a Cappuccio |D Nunzio |u University of Padova, nunzio.cappuccio@unipd.it |4 aut | |
| 700 | 1 | |a Lubian |D Diego |u University of Verona, Italy, diego.lubian@univr.it |4 aut | |
| 700 | 1 | |a Raggi |D Davide |u Università degli Studi di Verona, daviragg@stat.unipd.it |4 aut | |
| 773 | 0 | |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/2(2004-05-18) |q 8:2 |1 2004 |2 8 |o snde | |
| 856 | 4 | 0 | |u https://doi.org/10.2202/1558-3708.1211 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.2202/1558-3708.1211 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Cappuccio |D Nunzio |u University of Padova, nunzio.cappuccio@unipd.it |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Lubian |D Diego |u University of Verona, Italy, diego.lubian@univr.it |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Raggi |D Davide |u Università degli Studi di Verona, daviragg@stat.unipd.it |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/2(2004-05-18) |q 8:2 |1 2004 |2 8 |o snde | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||