Estimation of Hyperbolic Diffusion using MCMC Method

Show simple item record Tse, Y.K. en Zhang, Bill en Yu, Jun en 2006-11-30T20:53:34Z en 2006-11-30T20:53:34Z en 2002 en
dc.identifier.citation Department of Economics Working Paper Series 236 en
dc.identifier.uri en
dc.description.abstract In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the financial econometrics literature, such as a slowly declining autocorrelation function of absolute returns. We demonstrate that the MCMC method provides a useful tool to analyze hyperbolic diffusions. In particular, quantities of posterior distributions obtained from MCMC outputs can be used for statistical inferences. en
dc.format.extent application/pdf en
dc.format.mimetype text en
dc.language.iso en en
dc.publisher ResearchSpace@Auckland en
dc.relation.ispartofseries Department of Economics Working Paper Series (1997-2006) en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri en
dc.subject.other Markov ChainMonte Carlo en
dc.subject.other Economics en
dc.title Estimation of Hyperbolic Diffusion using MCMC Method en
dc.type Working Paper en
dc.rights.holder Copyright: the author en
dc.rights.accessrights en Economics en

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