An infinite hidden Markov model with stochastic volatility

doi:10.1002/for.3123

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	An infinite hidden Markov model with stochastic volatility
	Li, Chenxing 1; Maheu, John M.2; Yang, Qiao3
	2024
发表期刊	JOURNAL OF FORECASTING
ISSN	0277-6693
EISSN	1099-131X
卷号	43 期号:6 页码:2187-2211
DOI	10.1002/for.3123
摘要	This paper extends the Bayesian semiparametric stochastic volatility (SV-DPM) model. Instead of using a Dirichlet process mixture (DPM) to model return innovations, we use an infinite hidden Markov model (IHMM). This allows for time variation in the return density beyond that attributed to parametric latent volatility. The new model nests several special cases as well as the SV-DPM. We also discuss posterior and predictive density simulation methods for the model. Applied to equity returns, foreign exchange rates, oil price growth and industrial production growth, the new model improves density forecasts, compared with the SV-DPM, a stochastic volatility with Student's (Formula presented.) innovations and other fat-tailed volatility models. © 2024 John Wiley & Sons Ltd.
关键词	Economic analysis Stochastic models Stochastic systems Bayesian Dirichlet process Dirichlet process mixture model Hidden-Markov models Markov switching MCMC Nonparametrics Semiparametric Stochastic volatility Time variations
URL	查看原文
收录类别	EI
语种	英语
出版者	John Wiley and Sons Ltd
EI入藏号	20241515898136
EI主题词	Hidden Markov models
EI分类号	731.1 Control Systems ; 911.2 Industrial Economics ; 922 Statistical Methods ; 922.1 Probability Theory ; 961 Systems Science
原始文献类型	Article in Press
文献类型	期刊论文
条目标识符	https://kms.shanghaitech.edu.cn/handle/2MSLDSTB/364660
专题	创业与管理学院创业与管理学院_PI研究组_杨乔组
通讯作者	Yang, Qiao
作者单位	1.Center for Economics, Finance and Management Studies, Hunan University, Changsha, China 2.DeGroote School of Business, McMaster University, Hamilton, Canada 3.School of Entrepreneurship and Management, ShanghaiTech University, Shanghai, China
通讯作者单位	创业与管理学院
推荐引用方式 GB/T 7714	Li, Chenxing,Maheu, John M.,Yang, Qiao. An infinite hidden Markov model with stochastic volatility[J]. JOURNAL OF FORECASTING,2024,43(6):2187-2211.
APA	Li, Chenxing,Maheu, John M.,&Yang, Qiao.(2024).An infinite hidden Markov model with stochastic volatility.JOURNAL OF FORECASTING,43(6),2187-2211.
MLA	Li, Chenxing,et al."An infinite hidden Markov model with stochastic volatility".JOURNAL OF FORECASTING 43.6(2024):2187-2211.