贝叶斯马尔科夫链蒙特卡洛用于使用亚洲外汇汇率的重新参数化的随机波动模型在Covid-19期间
1Sasin School of Management, Chulalongkorn University, Bangkok, Thailand.
Journal of applied statistics
|June 1, 2023
概括
这项研究使用贝叶斯方法增强了在Covid-19期间波动的亚洲外汇市场的随机波动 (SV) 模型. 它改进了参数估计,并引入了重尾分布,以实现更准确的财务建模.
科学领域:
- 量化金融 量化金融
- 计量经济学 计量经济学
- 统计建模 统计建模
背景情况:
- 随机波动 (SV) 模型对于金融时间序列分析至关重要.
- 由于参数自相关性,对SV模型的准确估计具有挑战性.
- 随着COVID-19大流行,亚洲外汇市场的波动性加剧.
研究的目的:
- 为了改善 SV 模型的马尔科夫链蒙特卡罗 (MCMC) 估计.
- 为了减少SV模型参数中的自相关性.
- 将重尾分布纳入用于增强金融数据建模的重尾分布.
主要方法:
- 在SV模型中应用修复参数化技术.
- 整合学生-t分布以诱导沉重的尾巴.
- 使用MCMC采样器进行参数估计的贝叶斯计算.
主要成果:
- 在SV模型参数中成功降低了自相关性.
- 通过贝叶斯式MCMC引入了一个重尾的SV模型.
- 在Covid-19期间,对波动性亚洲外汇系列进行了改善的估计.
结论:
- 提出的方法可以提高MCMC对SV模型的估计准确性.
- 修复参数化和学生-t分布对于波动的金融市场是有效的.
- 这项研究为在高度不确定性的时期分析外汇市场提供了强大的框架.
相关概念视频
Model Approaches for Pharmacokinetic Data: Distributed Parameter Models
101
Pharmacokinetic models are mathematical constructs that represent and predict the time course of drug concentrations in the body, providing meaningful pharmacokinetic parameters. These models are categorized into compartment, physiological, and distributed parameter models.
The distributed parameter models are specifically designed to account for variations and differences in some drug classes. This model is particularly useful for assessing regional concentrations of anticancer or...
The distributed parameter models are specifically designed to account for variations and differences in some drug classes. This model is particularly useful for assessing regional concentrations of anticancer or...
101
Parametric Survival Analysis: Weibull and Exponential Methods
492
Parametric survival analysis models survival data by assuming a specific probability distribution for the time until an event occurs. The Weibull and exponential distributions are two of the most commonly used methods in this context, due to their versatility and relatively straightforward application.
Weibull Distribution
The Weibull distribution is a flexible model used in parametric survival analysis. It can handle both increasing and decreasing hazard rates, depending on its shape parameter...
Weibull Distribution
The Weibull distribution is a flexible model used in parametric survival analysis. It can handle both increasing and decreasing hazard rates, depending on its shape parameter...
492
Statistical Methods for Analyzing Epidemiological Data
434
Epidemiological data primarily involves information on specific populations' occurrence, distribution, and determinants of health and diseases. This data is crucial for understanding disease patterns and impacts, aiding public health decision-making and disease prevention strategies. The analysis of epidemiological data employs various statistical methods to interpret health-related data effectively. Here are some commonly used methods:
434
Random Variables
12.4K
A random variable is a single numerical value that indicates the outcome of a procedure. The concept of random variables is fundamental to the probability theory and was introduced by a Russian mathematician, Pafnuty Chebyshev, in the mid-nineteenth century.
Uppercase letters such as X or Y denote a random variable. Lowercase letters like x or y denote the value of a random variable. If X is a random variable, then X is written in words, and x is given as a number.
For example, let X = the...
Uppercase letters such as X or Y denote a random variable. Lowercase letters like x or y denote the value of a random variable. If X is a random variable, then X is written in words, and x is given as a number.
For example, let X = the...
12.4K
Econometric Views (EViews)
188
Econometric Views, often stylized as EViews, is a package that merges statistical analysis with econometric studies. It is designed to provide tools for time series analysis, forecasting, and econometric model simulation. The software originated from MicroTSP software and has evolved significantly since its inception in 1981. The history of EViews is marked by a continuous effort to enhance its computational speed and user interface. It was initially developed for large computing systems but...
188
Analysis Methods of Pharmacokinetic Data: Model and Model-Independent Approaches
187
Drug disposition in the body is a complex process and can be studied using two major approaches: the model and the model-independent approaches.
The model approach uses mathematical models to describe changes in drug concentration over time. Pharmacokinetic models help characterize drug behavior in patients, predict drug concentration in the body fluids, calculate optimum dosage regimens, and evaluate the risk of toxicity. However, ensuring that the model fits the experimental data accurately...
The model approach uses mathematical models to describe changes in drug concentration over time. Pharmacokinetic models help characterize drug behavior in patients, predict drug concentration in the body fluids, calculate optimum dosage regimens, and evaluate the risk of toxicity. However, ensuring that the model fits the experimental data accurately...
187


