Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Zhongxian Men"'
Autor:
Zhongxian Men, Tony S. Wirjanto
Publikováno v:
Quantitative Finance and Economics, Vol 2, Iss 2, Pp 325-347 (2018)
This paper proposes a novel simulation-based inference for an asymmetric stochastic volatility model. An acceptance-rejection Metropolis-Hastings algorithm is developed for the simulation of latent states of the model. A simple and e cient algorithm
Externí odkaz:
https://doaj.org/article/d8306f604a4b46e7b035112a0ae9e995
Publikováno v:
Journal of Risk and Financial Management
Volume 14
Issue 5
Journal of Risk and Financial Management, Vol 14, Iss 225, p 225 (2021)
Volume 14
Issue 5
Journal of Risk and Financial Management, Vol 14, Iss 225, p 225 (2021)
This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a he
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1536bb94f74a1303bbd8a0157c19b4dc
Publikováno v:
Journal of Risk and Financial Management, Vol 12, Iss 2, p 88 (2019)
Journal of Risk and Financial Management
Volume 12
Issue 2
Journal of Risk and Financial Management
Volume 12
Issue 2
This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a7940d9f49e3d894ea85bd215ea87291
https://www.mdpi.com/1911-8074/12/2/88
https://www.mdpi.com/1911-8074/12/2/88
Publikováno v:
Journal of Applied Statistics. 44:1350-1368
This paper conducts simulation-based comparison of several stochastic volatility models with leverage effects. Two new variants of asymmetric stochastic volatility models, which are subject to a logarithmic transformation on the squared asset returns
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6a2433e7beec73155b6cb519f17d6caf
https://doi.org/10.1080/02664763.2016.1204596
https://doi.org/10.1080/02664763.2016.1204596
Publikováno v:
Journal of Forecasting. 35:462-476
This paper proposes a parsimonious threshold stochastic volatility (SV) model for financial asset returns. Instead of imposing a threshold value on the dynamics of the latent volatility process of the SV model, we assume that the innovation of the me
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a96e1870f455a489e82bfdc864f54646
https://doi.org/10.1002/for.2397
https://doi.org/10.1002/for.2397
Publikováno v:
Renewable Energy. 87:203-211
An ensemble of mixture density neural networks is used for short-term wind speed and power forecasting. Predicted wind speeds obtained from a numerical weather prediction model are used as the input data for the mixture density network, whose outputs
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::250235a4f7da7f2b378009d04623b28e
https://doi.org/10.1016/j.renene.2015.10.014
https://doi.org/10.1016/j.renene.2015.10.014
Publikováno v:
Journal of Statistical Computation and Simulation. 86:1295-1319
This paper extends stochastic conditional duration (SCD) models for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process. Novel algorithms of Markov Ch
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e56d27c2b0e83623aa11a10157dc5f68
https://doi.org/10.1080/00949655.2015.1060235
https://doi.org/10.1080/00949655.2015.1060235
Publikováno v:
Journal of Risk & Financial Management; May2021, Vol. 14 Issue 5, p1-28, 28p
Publikováno v:
Journal of Forecasting. 34:36-56
This paper proposes Markov chain Monte Carlo methods to estimate the parameters and log durations of the correlated or asymmetric stochastic conditional duration models. Following the literature, instead of fitting the models directly, the observatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1b9e53ee5126068314667989af59bb4d
https://doi.org/10.1002/for.2317
https://doi.org/10.1002/for.2317
Publikováno v:
Communications in Statistics - Simulation and Computation. 45:3128-3148
This article focuses on simulation-based inference for the time-deformation models directed by a duration process. In order to better capture the heavy tail property of the time series of financial asset returns, the innovation of the observation equ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ec0509609f2a4dbc79374dd7aea26c40
https://doi.org/10.1080/03610918.2014.922982
https://doi.org/10.1080/03610918.2014.922982