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BAYESIAN ANALYSIS OF STOCHASTIC VOLATILITY MODELS WITH
LEVY JUMPS
by
Pawel Szerszen
A Dissertation Presented to the
FACULTY OF THE GRADUATE SCHOOL
UNIVERSITY OF SOUTHERN CALIFORNIA
In Partial Ful llment of the
Requirements for the Degree
DOCTOR OF PHILOSOPHY
(ECONOMICS)
May 2008
Copyright 2008 Pawel Szerszen
Object Description
| Title | Bayesian analysis of stochastic volatility models with Levy jumps |
| Author | Szerszen, Pawel |
| Author email | szerszen@usc.edu |
| Degree | Doctor of Philosophy |
| Document type | Dissertation |
| Degree program | Economics |
| School | College of Letters, Arts and Sciences |
| Date defended/completed | 2008-03-25 |
| Date submitted | 2008 |
| Restricted until | Restricted until 21 Apr. 2010. |
| Date published | 2010-04-21 |
| Advisor (committee chair) | Magill, Michael |
| Advisor (committee member) |
Moon, Hyungsik Roger Jones, Christopher |
| Abstract | In this work we analyze asset returns models with diffusion part and jumps in returns with stochastic volatility either from diffusion or pure jump part. We consider different specifications for the pure jump part including compound Poisson, Variance Gamma and Levy alpha-stable jumps. Monte Carlo Markov chain algorithm is constructed to estimate models with latent Variance Gamma and Levy alpha-stable jumps. Our construction corrects for separability problems in the state space of the MCMC for Levy alpha-stable jumps. We apply our model specifications for analysis of S&P500 daily returns. We find, that models with infinite activity jumps and stochastic volatility from diffusion perform well in capturing S&P500 returns characteristics. Models with stochastic volatility from jumps cannot represent excess kurtosis and tails of returns distributions. One-day and one-week ahead prediction and VaR performance characterizing conditional returns distribution rejects Variance Gamma jumps in favor of Levy alpha-stable jumps in returns. JEL classification: C1; C11; G1; G12 |
| Keyword | bayesian estimation; asset returns; Levy jumps; stochastic volatility |
| Language | English |
| Part of collection | University of Southern California dissertations and theses |
| Publisher (of the original version) | University of Southern California |
| Place of publication (of the original version) | Los Angeles, California |
| Publisher (of the digital version) | University of Southern California. Libraries |
| Type | texts |
| Legacy record ID | usctheses-m1170 |
| Rights | Szerszen, Pawel |
| Repository name | Libraries, University of Southern California |
| Repository address | Los Angeles, California |
| Repository email | http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/ |
| Filename | etd-Szerszen-20080421 |
| Archival file | uscthesesreloadpub_Volume29/etd-Szerszen-20080421.pdf |
Description
| Title | Page 1 |
| Full text | BAYESIAN ANALYSIS OF STOCHASTIC VOLATILITY MODELS WITH LEVY JUMPS by Pawel Szerszen A Dissertation Presented to the FACULTY OF THE GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Ful llment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (ECONOMICS) May 2008 Copyright 2008 Pawel Szerszen |
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