- edoc-Server Home
- Browsing by Author
Browsing by Author "Ou, Yangguoyi"
Now showing items 1-2 of 2
-
2008-10-01DiskussionspapierDiscrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference Hautsch, Nikolaus; Ou, YangguoyiIn this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. ...
-
2008-07-31DiskussionspapierYield Curve Factors, Term Structure Volatility, and Bond Risk Premia Hautsch, Nikolaus; Ou, YangguoyiWe introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk ...