An extension of stochastic volatility model with mixed frequency information
文献类型：期刊论文
| 作者 | Shang, Yuhuang1; Liu, Lulu2 |
| 刊名 | ECONOMICS LETTERS
 |
| 出版日期 | 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 |
| WOS记录号 | WOS:000401386700033 |
| 出版者 | ELSEVIER SCIENCE SA |
| URI标识 | http://www.irgrid.ac.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. |
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来源：寒区旱区环境与工程研究所
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