JSM 2004 - Toronto

Abstract #301055

This is the preliminary program for the 2004 Joint Statistical Meetings in Toronto, Canada. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2004); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.


Back to main JSM 2004 Program page



Activity Number: 192
Type: Contributed
Date/Time: Tuesday, August 10, 2004 : 8:30 AM to 10:20 AM
Sponsor: Section on Bayesian Statistical Science
Abstract - #301055
Title: Stochastic Volatility Models for Ordinal-valued Time Series
Author(s): Claudia Czado*+ and Gernot Mueller
Companies: Munich University of Technology and Munich University of Technology
Address: Center for Mathematical Sciences, D-85747 Garching, 85747, Germany
Keywords: MCMC ; stochastic volatility ; time series ; intraday financial data ; transformation group
Abstract:

Our aim is to model the intraday development of stock prices changes. We introduce a model for ordinal observations that are considered to be realizations of discretized versions of latent continuous variables. For these latent variables we assume a stochastic volatility (SV) model. MCMC methods for SV models have been considered in Chib, Nardari, and Shephard. To estimate the model parameters we consider an MCMC algorithm which, however, exhibits a bad convergence behavior. Therefore we develop a GM-MGMC (grouped move multigrid Monte Carlo) sampler, where additional grouped move (GM) steps (Liu and Sabatti 2000) are used. We show that these GM steps lead to a fundamental improvement in convergence. Finally, we fit the model to price changes of the IBM stock in January 2001.


  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2004 program

JSM 2004 For information, contact jsm@amstat.org or phone (888) 231-3473. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2004