Bayesian Markov Switching Stochastic Correlation Models
نویسندگان
چکیده
منابع مشابه
Bayesian Inference for Markov Switching Stochastic Volatility Models
We study a Markov switching stochastic volatility model with heavy tail innovations in the observable process. Due to the economic interpretation of the hidden volatility regimes, these models have many financial applications like asset allocation, option pricing and risk management. The Markov switching process is able to capture clustering effects and jumps in volatility. Heavy tail innovatio...
متن کاملBayesian Markov Regime-Switching Models for Cointegration
This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estima...
متن کاملBayesian Analysis of a Markov Switching Stochastic Volatility Model
This article analyzes a Markov switching stochastic volatility (MSSV) model to accommodate the shift in the mean of log-volatility. Since it is difficult to estimate the parameters in this model based on the maximum likelihood method, a Bayesian Markov-chain Monte Carlo (MCMC) approach is adopted. A particle filter for the MSSV model, which is used for model comparison and diagnostics, is const...
متن کاملA Bayesian MCMC Algorithm for Markov Switching GARCH models
Markov switching GARCH models have been developed in order to address the statistical regularity observed in financial time series such as strong persistence of conditional variance. However, Maximum Likelihood Estimation faces a implementation problem since the conditional variance depends on all the past history of state. This paper shows that this problem can be handled easily in Bayesian in...
متن کاملSimulation-based sequential analysis of Markov switching stochastic volatility models
We propose a simulation-based algorithm for inference in stochastic volatility models with possible regime switching in which the regime state is governed by a first-order Markov process. Using auxiliary particle filters we developed a strategy to sequentially learn about states and parameters of the model. The methodology is tested against a synthetic time series and validated with a real fina...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2275754