Leverage, heavy-tails and correlated jumps in stochastic volatility models

Jouchi Nakajima and Yasuhiro Omori ()

No CIRJE-F-514, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. We illustrate our method using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based on the marginal likelihood for various SV models including the superposition model.

Pages: 34 pages
Date: 2007-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Leverage, heavy-tails and correlated jumps in stochastic volatility models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2007cf514

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