Bayesian Estimation of an Extended Local Scale Stochastic Volatility Model

A new version of the local scale model of Shephard (1994) is presented. Its features are identically distributed evolution equation disturbances, the incorporation of in-the-mean effects, and the incorporation of variance regressors. A Bayesian posterior simulator and a new simulation smoother are presented. The model is applied to publicly available daily exchange rate and asset return series, and is compared with t-GARCH and Lognormal stochastic volatility formulations using Bayes factors

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Year of publication:	2011
Authors:	Deschamps, Philippe J.
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Bayes-Statistik \| Bayesian inference \| Stochastischer Prozess \| Stochastic process \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory
Description of contents:	Abstract [papers.ssrn.com]