Bayesian local influence analysis: With an application to stochastic frontiers

Bayesian Local Influence Analysis: With an Application to Stochastic Frontiers

A Bayesian alternative to Zhuo (2018) is presented. The method is of general interest as it presents an explicit formula for the local sensitivity of log marginal likelihood when observations vary by a small amount. The remarkable feature is that the formula is very easy to compute and does not require knowledge of the marginal likelihood which is, invariably, extremely difficult to compute. Si...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis

In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either compound Poisson or Lévy α-stable jumps. To be able to estimate the models with latent Lévy α−stable jumps, I construct a new Markov chain Monte Carlo algorithm. I...

On Reducing sequences and an Application to Local Cohomology Modules

Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Value at Risk

In this paper we analyze asset returns models with diffusion part and jumps in returns with stochastic volatility either from diffusion or pure jump part. We consider different specifications for the pure jump part including compound Poisson, Variance Gamma and Levy α-stable jumps. Monte Carlo Markov chain algorithm is constructed to estimate models with latent Variance Gamma and Levy α−stable ...