关于Stochastic volatility models

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最近向用Stochastic volatility models ，请教各位能不能推荐一下有关Stochastic volatility models 的书或者文章，先谢谢了

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关键词：Stochastic Volatility Stochast models model models Stochastic Volatility

(2) Ghysels, E., Harvey, A.C., and Renault, E. (1996). Stochastic Volatility, in Maddala, G.S. and Rao. C.R., eds, "Handbook of Statistics" vol 14, North Holland, Amsterdam, pp. 119-191

(3)Jacquier, E., Polson, N.G., and Rossi, P.E. (1994). Bayesian analysis of stochastic volatility models. Journal of the American Statistical Association 12,371-417.

(4)Jacquier, E., Polson, N.G., and Rossi, P.E. (2003). Bayesian analysis of the stochastic volatility models with fat-tails and correlated errors. Journal of Econometrics 122,185-212.

(1) Estimation methods for stochastic volatility models: a survey, j of Economic Surveys. December 2004 - Vol. 18 Issue 5 Page 613-742

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Best start from (2), then to (1). do not try (3) and (4) if you do not know Bayesian method very well.

Also, you need to be good at Kalman Filter very well in order to estimate a model.

of course you can make your own program or use canned package(e.g. Eviews: state space models)

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send me an email tell me who you are(I means for SV model at this BBS) if you can not find (1) and (2).{try yourself first}.

there is a working paper version of (2) on the website.

[此贴子已经被作者于2006-2-20 21:33:04编辑过]

楼上的，谢谢你的推荐

我也正在学这个模型, 可以可以谈论一下. 我想用它来做油价. 我的邮箱是hinker_hong@hotmail.com.

这个模型一般用什么软机实现啊？

可以用STAMP吧. 不过我还没有这个软件.

以下是引用zhaosweden在2006-2-20 21:21:00的发言：

(2) Ghysels, E., Harvey, A.C., and Renault, E. (1996). Stochastic Volatility, in Maddala, G.S. and Rao. C.R., eds, "Handbook of Statistics" vol 14, North Holland, Amsterdam, pp. 119-191

(3)Jacquier, E., Polson, N.G., and Rossi, P.E. (1994). Bayesian analysis of stochastic volatility models. Journal of the American Statistical Association 12,371-417.

(4)Jacquier, E., Polson, N.G., and Rossi, P.E. (2003). Bayesian analysis of the stochastic volatility models with fat-tails and correlated errors. Journal of Econometrics 122,185-212.

(1) Estimation methods for stochastic volatility models: a survey, j of Economic Surveys. December 2004 - Vol. 18 Issue 5 Page 613-742

--------------

Best start from (2), then to (1). do not try (3) and (4) if you do not know Bayesian method very well.

Also, you need to be good at Kalman Filter very well in order to estimate a model.

of course you can make your own program or use canned package(e.g. Eviews: state space models)

----------------

send me an email tell me who you are(I means for SV model at this BBS) if you can not find (1) and (2).{try yourself first}.

there is a working paper version of (2) on the website.

wonderful

我到处找没找到，烦劳二楼的帮忙给我发一份啊

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