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Full-Text Articles in Social and Behavioral Sciences
Bugs For A Bayesian Analysis Of Stochastic Volatility Models, Renate Meyer, Jun Yu
Bugs For A Bayesian Analysis Of Stochastic Volatility Models, Renate Meyer, Jun Yu
Research Collection School Of Economics
This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS (Bayesian inference using Gibbs sampling), a recently developed, user-friendly, and freely available software package. It is an ideal software tool for the exploratory phase of model building as any modifications of a model including changes of priors and sampling error distributions are readily realized with only minor changes of the code. However, due to the single move …
An Empirical Analysis Of Unit Trust Performance In Singapore, Joseph H. H. Chia, Yiu Kuen Tse
An Empirical Analysis Of Unit Trust Performance In Singapore, Joseph H. H. Chia, Yiu Kuen Tse
Research Collection School Of Economics
The Singapore government’s recent strategic plan to develop the financial sector has placed much emphasis on the fund management industry. In this paper we examine the unit trust performance in Singapore in the 90s. Our results show that fund managers in general performed poorly in security analysis and market timing. However, they performed fairly well in risk-adjusted returns and generally maintained well-diversified portfolios. We find that there is little consistency in the performance ranking of the evaluated portfolios, although there is evidence of repeat performance of some top funds. Our analysis also shows that fund managers could indeed make excess …