Parameter Estimation and Empirical Analysis of Asymmetric Stochastic Volatility Model
Fengqin Liu · Gongcheng shuxue xuebao · 2006
The paper discusses the Bayesian parameter estimation of asymmetric stochastic volatility model. A markov chain monte carlo algorithm is proposed, by which the Bayesian estimator of model parameters can be well computed. Then the asymmetry in Chinese stock market is analysed by this new algorithm.