File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: A threshold stochastic volatility model

TitleA threshold stochastic volatility model
Authors
KeywordsARCH model
Gibbs sampling
Kalman filter
Monte Carlo Markov Chain
State space model
Issue Date2002
PublisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www3.interscience.wiley.com/cgi-bin/jhome/2966
Citation
Journal Of Forecasting, 2002, v. 21 n. 7, p. 473-500 How to Cite?
AbstractThis article introduces a new model to capture simultaneously the mean and variance asymmetries in time series. Threshold non-linearity is incorporated into the mean and variance specifications of a stochastic volatility model. Bayesian methods are adopted for parameter estimation. Forecasts of volatility and Value-at-Risk can also be obtained by sampling from suitable predictive distributions. Simulations demonstrate that the apparent variance asymmetry documented in the literature can be due to the neglect of mean asymmetry. Strong evidence of the mean and variance asymmetries was detected in US and Hong Kong data. Asymmetry in the variance persistence was also discovered in the Hong Kong stock market. Copyright © 2002 John Wiley & Sons, Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/82798
ISSN
2015 Impact Factor: 0.818
2015 SCImago Journal Rankings: 0.706
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorSo, MKPen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorLam, Ken_HK
dc.date.accessioned2010-09-06T08:33:32Z-
dc.date.available2010-09-06T08:33:32Z-
dc.date.issued2002en_HK
dc.identifier.citationJournal Of Forecasting, 2002, v. 21 n. 7, p. 473-500en_HK
dc.identifier.issn0277-6693en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82798-
dc.description.abstractThis article introduces a new model to capture simultaneously the mean and variance asymmetries in time series. Threshold non-linearity is incorporated into the mean and variance specifications of a stochastic volatility model. Bayesian methods are adopted for parameter estimation. Forecasts of volatility and Value-at-Risk can also be obtained by sampling from suitable predictive distributions. Simulations demonstrate that the apparent variance asymmetry documented in the literature can be due to the neglect of mean asymmetry. Strong evidence of the mean and variance asymmetries was detected in US and Hong Kong data. Asymmetry in the variance persistence was also discovered in the Hong Kong stock market. Copyright © 2002 John Wiley & Sons, Ltd.en_HK
dc.languageengen_HK
dc.publisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www3.interscience.wiley.com/cgi-bin/jhome/2966en_HK
dc.relation.ispartofJournal of Forecastingen_HK
dc.rightsJournal of Forecasting. Copyright © John Wiley & Sons Ltd.en_HK
dc.subjectARCH modelen_HK
dc.subjectGibbs samplingen_HK
dc.subjectKalman filteren_HK
dc.subjectMonte Carlo Markov Chainen_HK
dc.subjectState space modelen_HK
dc.titleA threshold stochastic volatility modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0277-6693&volume=21&issue=7&spage=473&epage=500&date=2002&atitle=A+threshold+stochastic+volatility+modelen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1002/for.840en_HK
dc.identifier.scopuseid_2-s2.0-0036856041en_HK
dc.identifier.hkuros75106en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0036856041&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume21en_HK
dc.identifier.issue7en_HK
dc.identifier.spage473en_HK
dc.identifier.epage500en_HK
dc.identifier.isiWOS:000179296700001-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridSo, MKP=7004473851en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridLam, K=36492945700en_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats