Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation

doi:10.1080/07350015.2015.1133427

CORC > 上海财经大学 > 上海财经大学

	Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
	James, Lancelot F.1; Mueller, Gernot 2; Zhang, Zhiyuan 3
刊名	JOURNAL OF BUSINESS & ECONOMIC STATISTICS
	2018
卷号	36 期号:1 页码:75-87
关键词	Dirichlet mean functional Dirichlet process Generalized Gamma Convolution Particle marginal Metropolis-Hastings Sequential Monte Carlo
ISSN号	0735-0015
DOI	10.1080/07350015.2015.1133427
英文摘要	We consider stochastic volatility models that are defined by an Ornstein-Uhlenbeck (OU)-Gamma time change. These models are most suitable for modeling financial time series and follow the general framework of the popular non-Gaussian OU models of Barndorff-Nielsen and Shephard. One current problem of these otherwise attractive nontrivial models is, in general, the unavailability of a tractable likelihood-based statistical analysis for the returns of financial assets, which requires the ability to sample from a nontrivial joint distribution. We show that an OU process driven by an infinite activity Gamma process, which is an OU-Gamma process, exhibits unique features, which allows one to explicitly describe and exactly sample from relevant joint distributions. This is a consequence of the OU structure and the calculus of Gamma and Dirichlet processes. We develop a particle marginal Metropolis-Hastings algorithm for this type of continuous-time stochastic volatility models and check its performance using simulated data. For illustration we finally fit the model to S&P500 index data.
WOS研究方向	Business & Economics ; Mathematical Methods In Social Sciences ; Mathematics
语种	英语
出版者	AMER STATISTICAL ASSOC
WOS记录号	WOS:000428737600009
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/788]
专题	上海财经大学
通讯作者	James, Lancelot F.
作者单位	1.Hong Kong Univ Sci & Technol, Dept Informat Syst Business Stat & Operat Managem, Kowloon, Hong Kong, Peoples R China; 2.Augsburg Univ, Inst Math, D-86159 Augsburg, Germany; 3.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	James, Lancelot F.,Mueller, Gernot,Zhang, Zhiyuan. Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS,2018,36(1):75-87.
APA	James, Lancelot F.,Mueller, Gernot,&Zhang, Zhiyuan.(2018).Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation.JOURNAL OF BUSINESS & ECONOMIC STATISTICS,36(1),75-87.
MLA	James, Lancelot F.,et al."Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation".JOURNAL OF BUSINESS & ECONOMIC STATISTICS 36.1(2018):75-87.