Browsing by Author "Ou, Yangguoyi"

Now showing items 1-2 of 2

2008-10-01Diskussionspapier

Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference

Hautsch, Nikolaus; Ou, Yangguoyi

In 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. ...
2008-07-31Diskussionspapier

Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia

Hautsch, Nikolaus; Ou, Yangguoyi

We 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 ...