Open Access System for Information Sharing

Login Library

 

Thesis
Cited 0 time in webofscience Cited 0 time in scopus
Metadata Downloads

Residual Analysis of Financial Models for Stock Indices using MCMC

Title
Residual Analysis of Financial Models for Stock Indices using MCMC
Authors
노동진
Date Issued
2012
Publisher
포항공과대학교
Abstract
In this paper I have analyzed four different markets: KOSPI, S&P500, NIKKEI225 and HANGSENG. In order to estimate the models with stochastic volatility and Merton’s jump, which have yet not known their density function in closed form, I have developed Bayesian Markov chain Monte Carlo (MCMC) methods using discretely sampled data. Simulation studies show that jumps and volatility are not compatible each other. Empirical studies show that there is an appropriate model for each market but Log-Stochastic model showed the best performance. If there is a crisis during analysis period, there is a significant change in the parameters of its model.
URI
http://postech.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000001217212
http://oasis.postech.ac.kr/handle/2014.oak/1423
Article Type
Thesis
Files in This Item:
There are no files associated with this item.

qr_code

  • mendeley

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

Views & Downloads

Browse