Date of Award

1-1-2014

Language

English

Document Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

College/School/Department

Department of Economics

Content Description

1 online resource (vi, 125 pages) : illustrations (some color)

Dissertation/Thesis Chair

Bruce C Dieffenbach

Committee Members

Byoung Park

Keywords

Bayesian Forecasting, Leverage Effect, Markov Chain Monte Carlo Method, Particle Filter, Regime switching, Stochastic Volatility, Finance, Asset-liability management, Risk management, Stochastic analysis, Bayesian statistical decision theory, State-space methods

Subject Categories

Economics | Finance and Financial Management | Statistics and Probability

Abstract

Modeling the volatility of asset returns is a very important study in financial economics. Among the time-varying volatility models, the Stochastic Volatility (SV) models are argued to have advantages over the autoregressive conditional heteroskedasticity (ARCH) models. The purpose of this article is to put forward a generalized and flexible Stochastic Volatility model, the Stochastic Volatility Model with Leverage Effect and Regime Switching (SVLR model), which could capture the complex features of financial time series to the most extent.

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