| 具有杠杆效应SV模型的贝叶斯分析及其应用 |
| |
| 引用本文： | 孟利锋,张世英,何信.具有杠杆效应SV模型的贝叶斯分析及其应用[J].系统工程,2004,22(3):47-51. |
| |
| 作者姓名： | 孟利锋 张世英 何信 |
| |
| 作者单位： | 天津大学,管理学院,天津,300072 |
| |
| 基金项目： | 国家自然科学基金资助项目 (70 1 71 0 0 1 ) |
| |
| 摘 要： | 对具有杠杆效应的SV模型进行了的贝叶斯分析，使用基于Gibbs取样的BUGS软件对模型的参数进行了估计。用上海和深圳股市的指数收益时间序列对杠杆效应SV模型进行检验，指出沪、深两个股票市场存在显著的杠杆效应。
|
| 关 键 词： | 金融市场 股票价格 贝叶斯分析 杠杆效应 SV模型 股票市场 金融风险 |
| 文章编号： | 1001-4098(2004)03-0047-05 |
Bayesian Analysis of Stochastic Volatility Model with Leverage Effect and Its Application |
| |
| MENG Li feng,ZHANG Shi ying,HE Xin.Bayesian Analysis of Stochastic Volatility Model with Leverage Effect and Its Application[J].Systems Engineering,2004,22(3):47-51. |
| |
| Authors: | MENG Li feng ZHANG Shi ying HE Xin |
| |
| Abstract: | Stochastic volatility (SV) models are widely used as the tools of financial volatility analyzing in the field of econometrics. A Bayesian analysis of the stochastic volatility model with leverage effect is discussed in this paper. The parameters of the model are estimated via software package BUGS (Bayesian inference using Gibbs Sampling). The results based on stock returns of Shanghai and Shenzhen show that the remarkable leverage effects exist in these two stock markets. |
| |
| Keywords: | Leverage Effect Stochastic Volatility Model Parameter Estimation Gibbs Sampling Bayesian Analysis |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
