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Current Trends in Bayesian Methodology with Applications
book

Current Trends in Bayesian Methodology with Applications

by Satyanshu K. Upadhyay, Umesh Singh, Dipak K. Dey, Appaia Loganathan
May 2015
Intermediate to advanced content levelIntermediate to advanced
680 pages
22h 33m
English
Chapman and Hall/CRC
Content preview from Current Trends in Bayesian Methodology with Applications
Stochastic Volatility and Realized Stochastic Volatility Models 445
Σ
†−1
W(ν
1
, Σ
1
) and accept it with probability
min
σ
†−1
η
σ
†−1
ǫ
exp
(
α
2
1
(1 φ
2
)
2σ
2
η
R
2
n
2σ
2
ǫ
exp(α
n
)
)
σ
1
η
σ
1
ǫ
exp
α
2
1
(1 φ
2
)
2σ
2
η
R
2
n
2σ
2
ǫ
exp(α
n
)
1
.
After sampling α, we set h
t
= α
t
+ µ for t = 1, . . . , n and µ = log(σ
2
ǫ
).
21.3 Realized SV Model
21.3.1 Realized volatil ity
Suppo se that the log-price p(s) follows the simple diffusion process:
dp(s) = µ(s)dt + σ(s)dW (s), (21.16)
where W(s) is a standard Brownian proce ss and µ(s) and σ(s) are the mean
and the standard deviation of dp(s) respectively, which may be time-varying
but a re assumed to b e independent of dW ...
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Publisher Resources

ISBN: 9781482235128