Factor Stochastic Volatility Models Hedibert Freitas Lopes推荐.pdf

´ Volatilidade Estocastica Univariada: ˆ ´ Inferencia Bayesiana atraves do WinBugs + Factor Stochastic Volatility: Latin American Stock Returns Hedibert Freitas Lopes Departamento de M´etodos Estat´ısticos Universidade Federal do Rio de Janeiro hedibert@im.ufrj.br http://acd.ufrj.br/∼hedibert •First •Prev •Next •Last •Go Back •Full Screen •Close •Quit Organiza¸c˜ao da Palestra Parte I • WinBugs: Inferˆencia Bayesiana sem dor! • Volatilidade Estoc´astica Univariada • Modelando a volatilidade do IBOVESPA no WinBugs • Modelando a volatilidade da taxa de cˆambio Pound/Dollar no WinBugs • Generaliza¸c˜oes Parte II • Factor stochastic volatility - FSV • Factor Markov switching SV - FMSSV • Prior/Posterior • MCMC e SMC Final Thoughts •First •Prev •Next •Last •Go Back •Full Screen •Close •Quit Professor Ruey Tsay says, in the preface of his Analysis of Financial Time Series (Wiley, 2002), that: MCMC methods are introduced because they are powerful and widely applicable in financial econometrics. He continues, These methods will be used extensively in the future. •First •Prev •Next •Last •Go Back •Full Screen •Close •Quit Volatilidade Estoc´astica Modelo 1 ht yt = e2 εt εt ∼ N (0, 1) 2 ht = µ + φ(ht−1 − µ) + ut ut ∼ N (0, τ ) Priori