119,618 research outputs found
Stochastic volatility with leverage: fast likelihood inference
No full textKim, Shephard and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a very fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which limited its scope for applications. Despite this, their basic method has been extensively used in financial economics literature and more recently in macroeconometrics. In this paper we show how to overcome the limitation of this analysis so that the essence of the Kim, Shephard and Chib (1998) can be used to deal with the leverage effect, greatly extending the applicability of this method. Several illustrative examples are provided.Leverage effect, Markov chain Monte Carlo, Mixture sampler, Stochastic volatility, Stock returns.
"Stochastic Volatility with Leverage: Fast Likelihood Inference"
No full textKim, Shephard, and Chib (1998) provided a Bayesian analysis of stochastic volatility models based on a fast and reliable Markov chain Monte Carlo (MCMC) algorithm. Their method ruled out the leverage effect, which is known to be important in applications. Despite this, their basic method has been extensively used in the financial economics literature and more recently in macroeconometrics. In this paper we show how the basic approach can be extended in a novel way to stochastic volatility models with leverage without altering the essence of the original approach. Several illustrative examples are provided.
Neural and behavioural indices of face processing in siblings of children with autism spectrum disorder (ASD): a longitudinal study from infancy to mid-childhood
No full textThis project contains data and analysis code for the paper entitled "Neural and behavioural indices of face processing in siblings of children with autism spectrum disorder (ASD): a longitudinal study from infancy to mid-childhood" by E Shephard, B Milosavljevic, L Mason, M Elsabbagh, C Tye, T Gliga, EJH Jones, T Charman & MH Johnso
Neural and behavioural indices of face processing in siblings of children with autism spectrum disorder (ASD): a longitudinal study from infancy to mid-childhood
No full textThis project contains data and analysis code for the paper entitled "Neural and behavioural indices of face processing in siblings of children with autism spectrum disorder (ASD): a longitudinal study from infancy to mid-childhood" by E Shephard, B Milosavljevic, L Mason, M Elsabbagh, C Tye, T Gliga, EJH Jones, T Charman & MH Johnso
On Rogers–Shephard-type inequalities for the lattice point enumerator
No full textIn this paper, we study various Rogers-Shephard-type inequalities for the lattice point enumerator Gn(·) on R n. In particular, for any non-empty convex bounded sets K, L, R n, we show that {equation presented} Additionally, a discrete counterpart to a classical result by Berwald for concave functions, from which other discrete Rogers-Shephard-type inequalities may be derived, is shown. Furthermore, we prove that these new discrete analogues for Gn(·) imply the corresponding results involving the Lebesgue measure. © 2022 World Scientific Publishing Company
Neural and behavioural indices of face processing in siblings of children with autism spectrum disorder (ASD): a longitudinal study from infancy to mid-childhood
No full textThis project contains data and analysis code for the paper entitled "Neural and behavioural indices of face processing in siblings of children with autism spectrum disorder (ASD): a longitudinal study from infancy to mid-childhood" by E Shephard, B Milosavljevic, L Mason, M Elsabbagh, C Tye, T Gliga, EJH Jones, T Charman & MH Johnso
Photograph of Mrs. Allen Bass, Leda Alice Shephard and her husband
No full textPhotograph of Mrs. Allen Bass (L), Leda Alice Shephard (R), and her husband (M)
Normal modified stable processes
No full textThis paper discusses two classes of distributions, and stochastic processes derived from them: modified stable (MS) laws and normal modified stable (NMS) laws. This extends corresponding results for the generalised inverse Gaussian (GIG) and generalised hypberbolic (GH) or normal generalised inverse Gaussian (NGIG) laws. The wider framework thus established provides, in particular, for added flexibility in the modelling of the dynamics of financial time series, of importance especially as regards OU based stochastic volatility models for equities. In the special case of the tempered stable OU process an exact option pricing formula can be found, extending previous results based on the inverse Gaussian and gamma distributions.
Variation, jumps, market frictions and high frequency data in financial econometrics
No full textWe will review the econometrics of non-parametric estimation of the components of the variation of asset prices. This very active literature has been stimulated by the recent advent of complete records of transaction prices, quote data and order books. In our view the interaction of the new data sources with new econometric methodology is leading to a paradigm shift in one of the most important areas in econometrics: volatility measurement, modelling and forecasting. We will describe this new paradigm which draws together econometrics with arbitrage free financial economics theory. Perhaps the two most influential papers in this area have been Andersen, Bollerslev, Diebold and Labys(2001) and Barndorff-Nielsen and Shephard(2002), but many other papers have made important contributions. This work is likely to have deep impacts on the econometrics of asset allocation and risk management. One of our observations will be that inferences based on these methods, computed from observed market prices and so under the physical measure, are also valid as inferences under all equivalent measures. This puts this subject also at the heart of the econometrics of derivative pricing. One of the most challenging problems in this context is dealing with various forms of market frictions, which obscure the efficient price from the econometrician. Here we will characterise four types of statistical models of frictions and discuss how econometricians have been attempting to overcome them.
- …
