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Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility
https://doi.org/10.24545/00001609
https://doi.org/10.24545/0000160973e46496-0973-457e-8b44-0c4bd5887019
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP17-16.pdf (1.4 MB)
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||
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| 公開日 | 2018-03-15 | |||||||
| タイトル | ||||||||
| タイトル | Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Markov Chain Monte Carlo | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Gibbs Sampling | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Flexible Parametric Models | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Particle Filters | |||||||
| 資源タイプ | ||||||||
| 資源タイプ | technical report | |||||||
| ID登録 | ||||||||
| ID登録 (DOI) | 10.24545/00001609 | |||||||
| ID登録タイプ | JaLC | |||||||
| 著者 |
LEON-GONZALEZ, Roberto
× LEON-GONZALEZ, Roberto
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| 著者所属 | ||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | This paper develops a novel and efficient algorithm for Bayesian inference in inverse Gamma Stochastic Volatility models. It is shown that by conditioning on auxiliary variables, it is possible to sample all the volatilities jointly directly from their posterior conditional density, using simple and easy to draw from distributions. Furthermore, this paper develops a generalized inverse Gamma process with more flexible tails in the distribution of volatilities, which still allows for simple and efficient calculations. Using several macroeconomic and financial datasets, it is shown that the inverse Gamma and Generalized inverse Gamma processes can greatly outperform the commonly used log normal volatility processes with student-t errors or jumps in the mean equation. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | JEL Classification Codes: C11, C15 | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | The author thanks the Japan Society for the Promotion of Science for financial support under the Young-Scientist (B) Grant (#23730214 and #26780135). | |||||||
| 発行年 | ||||||||
| 値 | 2018-03 | |||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. DP17-16, 発行日 2018-03-15 |
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| 出版者 | ||||||||
| 出版者 | GRIPS Policy Research Center | |||||||
| 言語 | en | |||||||
| 関連サイト | ||||||||
| 関連タイプ | isIdenticalTo | |||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/17-16.html | |||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/17-16.html | |||||||
| 著者情報 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/ | |||||||
| 内容注記 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | First version: September, 2014 [14-12] http://doi.org/10.24545/00001148 | http://doi.org/10.24545/00001148 | |||||||
| 内容注記 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Second version: October, 2015 [15-17] http://doi.org/10.24545/00001286 | http://doi.org/10.24545/00001286 | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | AM | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||
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Cite as
LEON-GONZALEZ, Roberto, 2018, Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility: GRIPS Policy Research Center .
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