| 分位回归马尔可夫转换ARCH模型的贝叶斯分析 |
| |
| 引用本文： | 曾惠芳,熊培银. 分位回归马尔可夫转换ARCH模型的贝叶斯分析[J]. 贵州大学学报(自然科学版), 2014, 31(4): 132-136 |
| |
| 作者姓名： | 曾惠芳 熊培银 |
| |
| 作者单位： | 1. 湖南科技大学商学院,湖南湘潭,411201
2. 湖南科技大学信息与电气工程学院,湖南湘潭,411201 |
| |
| 基金项目： | 国家自然科学基金项目，教育部人文社会科学研究项目 |
| |
| 摘 要： | 针对经济时间序列波动的复杂性和不确定性,不考虑残差项分布形式的情况下,本文提出了一类分位回归马尔可夫转换ARCH模型。在贝叶斯理论框架下,选择扩散先验分布和非对称Laplace分布似然函数,实现了对MS-ARCH模型的贝叶斯分析。仿真分析发现分位回归MSARCH模型可以有效地刻画条件异方差时间序列的变结构性。
|
| 关 键 词： | 贝叶斯 分位数 ARCH模型 马尔可夫转换 |
Bayesian Analysis of Quantile Markov-switching ARCH Models based on MCMC Algorithm |
| |
| ZENG Hui-fang,XIONG Pei-yin. Bayesian Analysis of Quantile Markov-switching ARCH Models based on MCMC Algorithm[J]. Journal of Guizhou University(Natural Science), 2014, 31(4): 132-136 |
| |
| Authors: | ZENG Hui-fang XIONG Pei-yin |
| |
| Affiliation: | ZENG Hui-fang, XIONG Pei-yin( 1. College of Business, Hunan University of Science and Technology, Xiangtan 411201, China; 2. School of Information and Electrical Engineering, Hunan University of Science and Technology, Xiangtan 411201, China) |
| |
| Abstract: | According to the complexity of economic time series volatility and its uncertainty,a quantile Markovswitching ARCH model was proposed.Under the framework of Bayesian theory,proper Jeffery＇s prior distribution and likelihood function based on asymmetric Laplace distribution were employed,and Bayesian inference on MSARCH model was carried out.The simulation result shows that the quantile MS-ARCH models is effective to capture the structural change of economic time series with heteroscedasticy. |
| |
| Keywords: | Bayesian quantile ARCH models Markov-switching |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
