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Sonderforschungsbereich 386: Statistische Analyse diskreter Strukturen, Universität München (LMU) >
Discussion papers, SFB 386, LMU München >
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http://hdl.handle.net/10419/31080
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| Title: | | Stochastic volatility models for ordinal valued time series with application to finance  |
| Authors: | | Müller, Gernot J. Czado, Claudia |
| Issue Date: | | 2006 |
| Series/Report no.: | | Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 504 |
| Abstract: | | In this paper we introduce two stochastic volatility models where the response variable takes on only finite many ordered values. Corresponding time series occur in high-frequency finance when the stocks are traded on a coarse grid. For parameter estimation we develop an efficient Grouped Move Multigrid Monte Carlo (GM-MGMC) sampler. We apply both models to price changes of the IBM stock in January, 2001 at the NYSE. Dependencies of the price change process on covariates are quantified and compared with theoretical considerations on such processes. we also investigate whether this data set requires modeling with a heavy-tailed Student-t distribution. |
| Subjects: | | Grouped move High-frequency finance Markov chain Monte Carlo Multigrid Monte Carlo Price process |
| Persistent Identifier of the first edition: | | urn:nbn:de:bvb:19-epub-1869-4 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion papers, SFB 386, LMU München
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