Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models
Casarin, Roberto (2003), Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models, 4th International Workshop on Objective Bayesian Methodology, 2003-06, Aussois, France
TypeCommunication / Conférence
Conference title4th International Workshop on Objective Bayesian Methodology
MetadataShow full item record
Abstract (EN)We study a Markov switching stochastic volatility model with heavy tail innovations in the observable process. Due to the economic interpretation of the hidden volatility regimes, these models have many nancial applications like asset allocation, option pricing and risk management. The Markov switching process is able to capture clustering e ects and jumps in volatility. Heavy tail innovations account for extreme variations in the observed process. Accurate modelling of the tails is important when estimating quantiles is the major interest like in risk management applications. Moreover we follow a Bayesian approach to ltering and estimation, focusing on recently developed simulation based ltering techniques, called Particle Filters. Simulation based lters are recursive techniques, which are useful when assuming non-linear and non-Gaussian latent variable models and when processing data sequentially. They allow to update parameter estimates and state ltering as new observations become available.
Subjects / KeywordsParticle Filter; Markov Switching; Stochastic Volatility; Heavy Tails
Showing items related by title and author.
Casarin, Roberto (2004) Document de travail / Working paper
Casarin, Roberto (2003) Communication / Conférence
Robert, Christian P.; Carallo, Giulia; Casarin, Roberto (2021) Chapitre d'ouvrage
Casarin, Roberto; Trecroci, Carmine (2006) Document de travail / Working paper
Tossa, Adaté; K. Iyer, Srikanth; Emilion, Richard; Bernard, Didier (2010) Communication / Conférence