- Tytuł:
- Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices
- Autorzy:
- Kostrzewski, Maciej
- Tematy:
-
jump-diffusion model
stochastic volatility
Bayesian approach
MCMC methods
gas forward prices - Pokaż więcej
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Powiązania:
- https://bibliotekanauki.pl/articles/2076470.pdf Link otwiera się w nowym oknie
- Opis:
- A Bayesian stochastic volatility model with a leverage effect, normal errors and jump component with the double exponential distribution of a jump value is proposed. The ready to use Gibbs sampler is presented, which enables one to conduct statistical inference. In the empirical study, the SVLEDEJ model is applied to model logarithmic growth rates of one month forward gas prices. The results reveal an important role of both jump and stochastic volatility components.
- Dostawca treści:
- Biblioteka Nauki
Artykuł