Taylor and Francis Ltd.;Abingdon: Taylor & Francis
摘要:
摘要： In the area of finance, the stochastic volatility (SV) model is a useful tool for modelling stock market returns. However, there is evidence that asymmetric behaviour of stock returns exists. A threshold SV (THSV) model is provided to capture this behaviour. In this study, we introduce a robust model created through empirical Bayesian analysis to deal with the uncertainty between the SV and THSV models. A Markov chain Monte Carlo algorithm is applied to empirically select the hyperparameters of the prior distribution. Furthermore, the value at risk from the resulting predictive distribution is also given. Simulation studies show that the proposed empirical Bayes model not only clarifies the acceptability of prediction but also reduces the risk of model uncertainty. 出版者： Abingdon: Taylor & Francis 出版日期： 2013-03-01 出處： Journal of statistical computation and simulation, 2013-03, Vol.83 (3), p.486-500 版權： Copyright Taylor & Francis Group, LLC 2013 版權： Copyright Taylor & Francis Ltd. 2013 識別號： ISSN: 0094-9655 識別號： EISSN: 1563-5163 識別號： DOI: 10.1080/00949655.2011.620251
