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Erschienen in:
1998 | OriginalPaper | Buchkapitel
Estimation of the Stochastic Volatility by Markov Chain Monte Carlo
verfasst von : Hans Boscher, Eva-Maria Fronk, Iris Pigeot
Erschienen in: Econometrics in Theory and Practice
Verlag: Physica-Verlag HD
Enthalten in: Professional Book Archive
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In this paper, we consider the stochastic volatility which is used to measure the fluctuation of financial assets. Based on the stochastic volatility model introduced by Taylor (1986) a Bayesian point of view is taken to estimate the stochastic volatility by MCMC methods. The performance of these methods is evaluated in a simulation study. In addition, they are applied to a real dataset for estimating the volatility of swap rates.