LEADER 04726nam 22007815 450 001 9910698640503321 005 20250610120333.0 010 $a9789819909353 010 $a981990935X 024 7 $a10.1007/978-981-99-0935-3 035 $a(CKB)5580000000531999 035 $a(DE-He213)978-981-99-0935-3 035 $a(MiAaPQ)EBC7247870 035 $a(Au-PeEL)EBL7247870 035 $a(PPN)269656871 035 $a(MiAaPQ)EBC7238763 035 $a(EXLCZ)995580000000531999 100 $a20230418d2023 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aStochastic Volatility and Realized Stochastic Volatility Models /$fby Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe 205 $a1st ed. 2023. 210 1$aSingapore :$cSpringer Nature Singapore :$cImprint: Springer,$d2023. 215 $a1 online resource (VIII, 113 p. 41 illus., 26 illus. in color.) 225 1 $aJSS Research Series in Statistics,$x2364-0065 311 08$a9789819909346 311 08$a9819909341 320 $aIncludes bibliographical references. 327 $a1 Introduction -- 2 Stochastic Volatility Model -- 3 Asymmetric Stochastic Volatility Model -- 4 Stochastic Volatility Model with Generalized Hyperbolic Skew Student?s t Error -- 5 Realized Stochastic Volatility Model. 330 $aThis treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall. The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The text contains a thorough explanation of several efficient sampling algorithms for latent log volatilities, as well as an illustration of parameter estimation and volatility prediction through empirical studies utilizing various asset return data, including the yen/US dollar exchange rate, the Dow Jones Industrial Average, and the Nikkei 225 stock index. This publication is highly recommended for readers with an interest in the latest developments in stochastic volatility models and realized stochastic volatility models, particularly in regards to financial risk management. 410 0$aJSS Research Series in Statistics,$x2364-0065 606 $aStatistics 606 $aSocial sciences$xStatistical methods 606 $aStatistics 606 $aEconometrics 606 $aStatistics in Business, Management, Economics, Finance, Insurance 606 $aStatistics in Social Sciences, Humanities, Law, Education, Behavorial Sciences, Public Policy 606 $aStatistical Theory and Methods 606 $aQuantitative Economics 606 $aRisc (Economia)$2thub 606 $aModels matemātics$2thub 606 $aAnālisi estocāstica$2thub 608 $aLlibres electrōnics$2thub 615 0$aStatistics. 615 0$aSocial sciences$xStatistical methods. 615 0$aStatistics. 615 0$aEconometrics. 615 14$aStatistics in Business, Management, Economics, Finance, Insurance. 615 24$aStatistics in Social Sciences, Humanities, Law, Education, Behavorial Sciences, Public Policy. 615 24$aStatistical Theory and Methods. 615 24$aQuantitative Economics. 615 7$aRisc (Economia) 615 7$aModels matemātics 615 7$aAnālisi estocāstica 676 $a332.015195 700 $aTakahashi$b Makoto$f1920-1976,$01379558 702 $aO?mori$b Yasuhiro 702 $aWatanabe$b Toshiaki 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910698640503321 996 $aStochastic volatility and realized stochastic volatility models$93419486 997 $aUNINA