JSM 2004 Online Program

Abstract #301495

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Activity Number:	84
Type:	Contributed
Date/Time:	Monday, August 9, 2004 : 8:30 AM to 10:20 AM
Sponsor:	Business and Economics Statistics Section
Abstract - #301495
Title:	MCMC Estimation of Multiscale Stochastic Volatility Models
Author(s):	German Molina*+ and Chuan-Hsiang Han and Jean-Pierre Fouque
Companies:	Credit Suisse-First Boston and University of Minnesota and North Carolina State University
Address:	Flat 77, Ionian Bldg., London, International, E14 8DW, United Kingdom
Keywords:	MCMC ; Stochastic Volatility Model ; time scales ; foreign exchange
Abstract:	We propose to use Monte Carlo Markov Chain methods to estimate the parameters of Stochastic Volatility Models with several factors varying at different time scales. This approach, in contrast with classical one-factor models, identifies and estimates well-separated time scales. This is tested with simulated data as well as foreign exchange data.

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