QQ客服 官方微博 反馈留言

	An extension of stochastic volatility model with mixed frequency information
	Shang, Yuhuang1; Liu, Lulu2
刊名	ECONOMICS LETTERS
	2017-06-01
卷号	155页码:144-148
关键词	Stochastic volatility Mixed-frequency Monte Carlo experiment MCMC method Unobservable component
ISSN号	0165-1765
DOI	10.1016/j.econlet.2017.04.003
通讯作者	Liu, Lulu(lzccdiudiu@163.com)
英文摘要	This paper extends the SV model to the MF-SV model with mixed frequency information. We show the small sample properties with Monte Carlo experiment with MCMC method. The MF-SV model outperforms the basic SV model in the in-sample performance. (C) 2017 Published by Elsevier B.V.
收录类别	SSCI
WOS研究方向	Business & Economics
WOS类目	Economics
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000401386700033
内容类型	期刊论文
URI标识	http://www.corc.org.cn/handle/1471x/2557548
专题	寒区旱区环境与工程研究所
通讯作者	Liu, Lulu
作者单位	1.Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, Chengdu, Peoples R China 2.Chinese Acad Sci, CAREERI, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Shang, Yuhuang,Liu, Lulu. An extension of stochastic volatility model with mixed frequency information[J]. ECONOMICS LETTERS,2017,155:144-148.
APA	Shang, Yuhuang,&Liu, Lulu.(2017).An extension of stochastic volatility model with mixed frequency information.ECONOMICS LETTERS,155,144-148.
MLA	Shang, Yuhuang,et al."An extension of stochastic volatility model with mixed frequency information".ECONOMICS LETTERS 155(2017):144-148.

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。