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Full-Text Articles in Physical Sciences and Mathematics
Multivariate Stochastic Volatility Models: Bayesian Estimation And Model Comparison, Jun Yu, Renate Meyer
Multivariate Stochastic Volatility Models: Bayesian Estimation And Model Comparison, Jun Yu, Renate Meyer
Research Collection School Of Economics
In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV) models can be easily performed via a freely available Bayesian software called WinBUGS. Moreover, we introduce to the literature several new specifications which are natural extensions to certain existing models, one of which allows for time varying correlation coefficients. Ideas are illustrated by fitting, to a bivariate time series data of weekly exchange rates, nine multivariate SV models, including the specifications with Granger causality in volatility, time varying correlations, heavy-tailed error distributions, additive factor structure, and multiplicative factor structure. Empirical results suggest that the …
Transport Logistics Planning With Service-Level Constraints, Hoong Chuin Lau, K. M. Ng, Xintao Wu
Transport Logistics Planning With Service-Level Constraints, Hoong Chuin Lau, K. M. Ng, Xintao Wu
Research Collection School Of Computing and Information Systems
In this paper, we study a logistics problem arising in military transport planning. A military organization operates a large fleet of vehicles in a depot to serve the requests of various operational units. Each request has a fixed start and end time, and is served by a prescribed number of vehicles. We address the following two problems: (1) how many vehicles are at least needed to meet a given service level of requests; and (2) suppose we allow each request to shift its start time by a constant duration, call all the requests be met? A Niche genetic algorithm, together …
An Interactive Learning Environment For A Dynamic Educational Digital Library, Ee Peng Lim, Dion Hoe-Lian Goh, Yin-Leng Theng, Eng-Kai Suen
An Interactive Learning Environment For A Dynamic Educational Digital Library, Ee Peng Lim, Dion Hoe-Lian Goh, Yin-Leng Theng, Eng-Kai Suen
Research Collection School Of Computing and Information Systems
GeogDL is a digital library of geography examination resources designed to assist students in preparing for a national geography examination in Singapore. We describe an interactive learning environment built into GeogDL that consists of four major components. The practice and review module allows students to attempt individual examination questions, the mock exam provides a simulation of the actual geography examination, the trends analysis tool provides an overview of the types of questions asked in previous examinations, while the contributions module allows students and teachers to create and share knowledge within the digital library.
On Leverage In A Stochastic Volatility Model, Jun Yu
On Leverage In A Stochastic Volatility Model, Jun Yu
Research Collection School Of Economics
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier, Polson and Rossi (2004, Journal of Econometrics, forthcoming). Using a Gaussian nonlinear state space form with uncorrelated measurement and transition errors, I show that it is easy to interpret the leverage effect in the conventional model whereas it is not clear how to obtain the leverage effect …
Java-Based Digital Library Portal For Geography Education, Zehua Liu, Hai Yuan, Ee Peng Lim, Ming Yin, Dion Hoe-Lian Goh, Yin-Leng Theng, Wee-Keong Ng
Java-Based Digital Library Portal For Geography Education, Zehua Liu, Hai Yuan, Ee Peng Lim, Ming Yin, Dion Hoe-Lian Goh, Yin-Leng Theng, Wee-Keong Ng
Research Collection School Of Computing and Information Systems
G-Portal is a Java-based digital library system for managing the metadata of geography related resources on the Web. In addition to providing a flexible repository subsystem to accommodate metadata of different formats using XML and XML Schemas, G-Portal organizes metadata into projects and layers, and supports an integrated and synchronized classification and map-based interfaces over the stored metadata. G-Portal also includes a classification subsystem that creates category structures and classifies metadata resources into categories based on user-specified classification schemas. Furthermore, G-Portal users can annotate resources and make their annotations available to others. In this paper, we describe the design and …
Deviance Information Criterion For Comparing Stochastic Volatility Models, Andreas Berg, Renate Meyer, Jun Yu
Deviance Information Criterion For Comparing Stochastic Volatility Models, Andreas Berg, Renate Meyer, Jun Yu
Research Collection School Of Economics
Bayesian methods have been efficient in estimating parameters of stochastic volatility models for analyzing financial time series. Recent advances made it possible to fit stochastic volatility models of increasing complexity, including covariates, leverage effects, jump components, and heavy-tailed distributions. However, a formal model comparison via Bayes factors remains difficult. The main objective of this article is to demonstrate that model selection is more easily performed using the deviance information criterion (DIC). It combines a Bayesian measure of fit with a measure of model complexity. We illustrate the performance of DIC in discriminating between various different stochastic volatility models using simulated …